The robust F-statistic as a test for weak instruments

The robust F-statistic as a test for weak instruments

For the linear model with a single endogenous variable, (Montiel Olea and Pflueger 2013) proposed the effective F-statistic as a test for weak instruments in terms of the Nagar bias of the two-stage least squares (2SLS) or limited information maximum likelihood (LIML) estimator relative to a benchma...

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Autore principale:	Windmeijer, F
Natura:	Journal article
Lingua:	English
Pubblicazione:	Elsevier 2025

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