A robust test for weak instruments with multiple endogenous regressors in Stata

Lingyun Zhou

Stata Journal2026https://doi.org/10.1177/1536867x261425792article
AJG 2
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In this article, I introduce a novel command, weakivtest2 , that implements the robust bias-based test for weak instruments for two-stage least squares with multiple endogenous regressors proposed by Lewis and Mertens (Forthcoming, Review of Economic Studies , https://doi.org/10.1093/restud/rdaf103 ). The weakivtest2 command allows for absolute and relative bias criteria, local-to-zero and local-to-rank-reduction-of-one asymptotics, and testing for either the full vector or the individual elements of the two-stage least-squares estimator. weakivtest2 is a postestimation command for ivreg2, xtivreg2, and ivreghdfe .

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https://doi.org/https://doi.org/10.1177/1536867x261425792

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@article{lingyun2026,
  title        = {{A robust test for weak instruments with multiple endogenous regressors in Stata}},
  author       = {Lingyun Zhou},
  journal      = {Stata Journal},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1177/1536867x261425792},
}

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A robust test for weak instruments with multiple endogenous regressors in Stata

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