A Robust Test for Weak Instruments for 2SLS with Multiple Endogenous Regressors

• 成果类型: Article
• 署名作者: Lewis, Daniel J.; Mertens, Karel
• 署名单位: University of London; University College London; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaf103
• 发表日期: 2026
• 关键词: VARIABLES REGRESSION; estimators; EXISTENCE; moments; matrix

摘要

We develop a test for instrument strength based on the bias of two-stage least squares (2SLS) that (1) generalizes Stock and Yogo's and Sanderson and Windmeijer's tests to be robust to heteroskedasticity and autocorrelation, and (2) extends Montiel Olea and Pflueger's robust test for models with a single endogenous regressor to multiple endogenous regressors. Our test can be based either on an absolute bias criterion or on the 2SLS bias relative to a worst-case benchmark. We also develop extensions to test whether weak instruments cause bias in individual 2SLS coefficients. In simulations, our test controls size and is powerful, and we provide efficient code packages for its practical implementation. We demonstrate our testing procedures in the context of the estimation of state-dependent fiscal multipliers, following recent leading estimates.