The robust F-statistic as a test for weak instruments

DOI10.1016/J.JECONOM.2025.105951MaRDI QIDQ7011715zbMATH OpenFDO

Authors Frank Windmeijer

Publication date 18 March 2025

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JECONOM.2025.105951

zbMATH Keywords

GMMheteroskedasticityinstrumental variablesrobust F-statisticweak instruments

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A Robust Test for Weak Instruments
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• Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Two-stage least squares as minimum distance

Cited in

(1)

• A robust test for weak instruments for 2SLS with multiple endogenous regressors

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