A Robust Test for Weak Instruments

By J. M. Olea, Carolin E. Pflueger. 2013

942 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/33b9955a7239c6fea295c23dfe2b778c79ab3b1d

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Citations in the corpus

Incarceration, Recidivism, and Employment (2016, result): “Consistent with this finding, we can strongly reject the null hypothesis of weak instrument using the test proposed by Montiel Olea and Pflueger (2013).”
A weak instrument F-test in linear IV models with multiple endogenous variables (2013, positive): “The Staiger and Stock (1997) and Stock and Yogo (2005) results for the F-test and Cragg–Donald statistic in the one-variable and multiple-variable model respectively in relation to the relative bias and Wald test size distortions hold under the stated assumptions of the model and the reduced form eq”
A Robust Test for Weak Instruments in Stata (2015, methodology): “This paper describes and summarizes the weak instrument test of Montiel Olea and Pflueger (2013) and introduces a new Stata routine weakivtest implementing this test. weakivtest is a postestimation routine for ivreg2 and ivregress.2 Weak instruments can bias point estimates and lead to substantial…”
The financing of local government in China: Stimulus loan wanes and shadow banking waxes (2020, background): “After surveying the role of shadow banking in major financial panics in the US starting the early 19th century, Rockoff (2018) argues that the reliance on the real bills doctrine as a basis for regulating chartered banks creates gaps in the financial system for private institutions to fill.”
U.S. Monetary Policy and International Risk Spillovers (2019, background): “The first-stage effective F-statistic of Olea and Pflueger (2013) is 170.”
A six-factor asset pricing model (2018, methodology): “Simultaneously, we perform a weak instrumental variable test (Racicot & Rentz, 2015) to check for the validity of the instruments, tests of overidentifying restrictions (Hansen, 1982; Olea & Pflueger, 2013), and the Hausman test (Hausman, 1978) to check the specification and measurement errors.”
Macroeconomic Shocks and Their Propagation (2016, background): “Fortunately, follow-up work byMontiel Olea and Pflueger (2013) constructs thresholds for cases with serial correlation.”