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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 distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.002
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.460
Threshold uncertainty score0.699

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0030.002
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0000.000
Science and technology studies0.0010.000
Scholarly communication0.0000.000
Open science0.0010.000
Research integrity0.0000.001
Insufficient payload (model declined to judge)0.0000.000

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 teacher head, not a consensus.

The models applied no category: nothing in the taxonomy fit this work.
Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

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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