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Record W3125007939 · doi:10.1177/1536867x1501500113

A Robust Test for Weak Instruments in Stata

2015· article· en· W3125007939 on OpenAlexaff
Carolin Pflueger, Su Wang

Bibliographic record

VenueThe Stata Journal Promoting communications on statistics and Stata · 2015
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicMonetary Policy and Economic Impact
Canadian institutionsUniversity of British Columbia
Fundersnot available
KeywordsHeteroscedasticityEconometricsEstimatorMathematicsStatisticsHomoscedasticityAutocorrelationNull hypothesisEconomics

Abstract

fetched live from OpenAlex

We introduce a routine, weakivtest, that implements the test for weak instruments by Montiel Olea and Pflueger (2013, Journal of Business and Economic Statistics 31: 358–369). weakivtest allows for errors that are not conditionally homoskedastic and serially uncorrelated. It extends the Stock and Yogo (2005, Testing for weak instruments in linear IV regression. In Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, ed. D. W. K. Andrews and J. J. Stock, 80–108. [Cambridge University Press]) weak-instrument tests available in ivreg2 and in the ivregress postestimation command estat firststage.weakivtest tests the null hypothesis that instruments are weak or that the estimator's Nagar (1959, Econometrica 27: 575–595) bias is large relative to a benchmark for both two-stage least-squares estimation and limited-information maximum likelihood with one endogenous regressor. The routine can accommodate Eicker–Huber–White heteroskedasticity robust estimates, Newey and West (1987, Econometrica 55: 703–708) heteroskedasticity- and autocorrelation-consistent estimates, and clustered variance estimates.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame machine prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.

metaresearch head score (Codex)0.021
metaresearch head score (Gemma)0.218
Version: metacan-v3-hybrid-931329e0061cValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Simulation or modeling · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: Methods
Teacher disagreement score0.107
Threshold uncertainty score0.359

Distilled classifier scores by category (both heads)

CategoryCodexGemma
Metaresearch0.0210.218
Meta-epidemiology (narrow)0.0010.001
Meta-epidemiology (broad)0.0020.002
Bibliometrics0.0050.006
Science and technology studies0.0010.001
Scholarly communication0.0040.003
Open science0.0030.005
Research integrity0.0010.004
Insufficient payload (model declined to judge)0.1070.035

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.289
GPT teacher head0.313
Teacher spread0.023 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designSimulation or modeling
Domainnot available
GenreMethods

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations168
Published2015
Admission routes1
Has abstractyes

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