Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/195470
Authors: 
Skeels, Christopher L.
Windmeijer, Frank
Year of Publication: 
2018
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 6 [Year:] 2018 [Issue:] 4 [Pages:] 1-23
Abstract: 
A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of p-values for the first-stage F-statistic weak instruments test.
Subjects: 
weak instruments
hypothesis testing
Stock–Yogo tables
hypergeometric functions
quadratic forms
p-values
JEL: 
C12
C36
C46
C52
C65
C88
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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