A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors
开发了一种基于两阶段最小二乘法偏误的弱工具变量检验，能处理异方差和自相关，并适用于多个内生回归变量，通过模拟验证了其有效性，并提供了实用代码。
Abstract We develop a test for instrument strength based on the bias of two-stage least squares (2SLS) that (1) generalizes Stock and Yogo’s and Sanderson and Windmeijer’s tests to be robust to heteroskedasticity and autocorrelation, and (2) extends Montiel Olea and Pflueger’s robust test for models with a single endogenous regressor to multiple endogenous regressors. Our test can be based either on an absolute bias criterion or on the 2SLS bias relative to a worst-case benchmark. We also develop extensions to test whether weak instruments cause bias in individual 2SLS coefficients. In simulations, our test controls size and is powerful, and we provide efficient code packages for its practical implementation. We demonstrate our testing procedures in the context of the estimation of state-dependent fiscal multipliers, following recent leading estimates.