Instrumental Variables Regression with Weak Instruments

By Douglas O. Staiger, James H. Stock. 1997

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Citations in the corpus

Are Banks Still Special When There Is a Secondary Market for Loans (2012, unknown): “As a rule of thumb, instruments are considered weak if the F -statistic for the excluded instruments (i.e., number of covenants, ln(loan size) and syndicated loan) in the first-stage regression is below 10 (e.g., in the spirit of Staiger and Stock (1997)).”
Foreign Banks in Poor Countries: Theory and Evidence (2008, unknown): “Depending on the specification, the F-test on the joint significance of the instruments is above or close to the threshold of 10 recommended by Staiger and Stock (1997) to avoid the weak instrument problem, under the criterion that the bias of the IV regression is less than 10 percent of the bias…”
Empirically relevant critical values for hypothesis tests: A bootstrap approach (2000, background): “(1997), Toda (1995), Tyoda and Ohtani (1986), Tsurumi and She#in (1985), and Whang (1998).”
The Effects of Financial Development on Foreign Direct Investment (2014, background): “The first-stage F -statistic indicates that the instruments are relevant, with a value well above the threshold identified as Staiger and Stock (1997) to qualify an instrument as strong (F ≈ 10).”
Performance of Conditional Wald Tests in IV Regression with Weak Instruments (2007, methodology): “Specific assumptions under which weak instrument asymptotics apply are available in the literature (see Staiger and Stock, 1997, and AMS), so we do not list them here, and instead only provide the results of the calculations.”
Sibling size and investment in children’s education: an asian instrument (2008, background): “It should be able to serve as an instrument for child quantity and, given the significance of the instrument in determining child quantity, most likely pass the chronic problem of “weak instrument” (Staiger and Stock 1997; Bound et al. 1995).”
The composition of government spending and growth: is current or capital spending better? (2007, background): “As a result of this problem, the estimated coefficients suffer from poor precision (see, among others, Staiger and Stock, 1997).”