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Two-sample instrumental-variables regression with potentially weak instruments

Author

Listed:
  • Jaerim Choi

    (University of Hawaii at Manoa)

  • Shu Shen

    (University of California, Davis)

Abstract

We develop a command, weaktsiv, for two-sample instrumental- variables regression models with one endogenous regressor and potentially weak instruments. weaktsiv includes the classic two-sample two-stage least-squares es- timator whose inference is valid only under the assumption of strong instruments. It also includes statistical tests and confidence sets with correct size and coverage probabilities even when the instruments are weak.

Suggested Citation

  • Jaerim Choi & Shu Shen, 2019. "Two-sample instrumental-variables regression with potentially weak instruments," Stata Journal, StataCorp LP, vol. 19(3), pages 581-597, September.
    • Handle: RePEc:tsj:stataj:v:19:y:2019:i:3:p:581-597
    DOI: 10.1177/1536867X19874235
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