Olea, José Luis Montiel; Pflueger, Carolin - In: Journal of Business & Economic Statistics 31 (2013) 3, pp. 358-369
We develop a test for weak instruments in linear instrumental variables regression that is robust to heteroscedasticity, autocorrelation, and clustering. Our test statistic is a scaled nonrobust first-stage <italic>F</italic> statistic. Instruments are considered weak when the two-stage least squares or the...