Search Results

Showing results 1 to 1 of approximately 1.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:serial correlation 

Report
A Robust Test for Weak Instruments with Multiple Endogenous Regressors

We extend the popular bias-based test of Stock and Yogo (2005) for instrument strength in linear instrumental variables regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend the robust test of Montiel Olea and Pflueger (2013) for one endogenous regressor to the general case with multiple endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of instrument strength and provide efficient and easy-to-use Matlab code for its implementation. We demonstrate ...
Staff Reports , Paper 1020

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

C26 1 items

C36 1 items

PREVIOUS / NEXT