weak-instruments 0.1.1

A package for weak instruments in an instrumental variables regression.

Solutions to Weak Instruments

JIVE1 and JIVE2 estimates based on Angrist, Imbens, and Krueger (1999)

We use the following formula for estimation of JIVE1:

$[\frac{Z_i \hat{\pi} - h_i X_i}{1-h_i}]$

where $h_i$ is the leverage for observation $i$.

We use the following formula for estimation of JIVE2:

$[\frac{Z_i \hat{\pi} - h_i X_i}{1-(\frac{1}{N})}]$

Weak identification with many instruments (Mikushueva and Sun)

Lim et al.

Jacknife Anderson-Rubin tests for many weak IV inference

Lagrange Multiplier

HFUL

Each file should check for:

• Multicollinearity
• Perfect collinearity
• Dimensions of variables (Single column of controls etc)
  • Check to see if dimensions are the same for all variables
• Constant columns
• Y and Z must be one dimensional vectors