Journal of Business and Economic Statistics· 2013Q1
A Robust Test for Weak Instruments
- 1,119citations
- Q1SCImago
- 2013year
Short summary
A new test for weak instruments in instrumental variables regression is robust to heteroscedasticity, autocorrelation, and clustering, outperforming the Stock and Yogo (2005) test in identifying weak instruments across more countries when estimating the elasticity of intertemporal substitution.
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General Economics, Econometrics and FinanceEconomics, Econometrics and Finance