A weak instrument F-test in linear IV models with multiple endogenous variables

We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we consider a weak instruments problem of a near rank reduction o...

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Bibliographic Details
Published in:Journal of econometrics 2016-02, Vol.190 (2), p.212-221
Main Authors: Sanderson, Eleanor, Windmeijer, Frank
Format: Article
Language:English
Subjects:
[formula omitted]-test
econometric models
economic analysis
economic theory
Eigen values
Eigenvalues
Endogenous
equations
Fourier analysis
Multiple endogenous variables
Sample size
Studies
Tests
Variables
variance
Weak instruments
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