Resumen de Two-sample instrumental-variables regression with potentially weak instruments

Jaerim Choi, Shu Shen

• We develop a command, weaktsiv, for two-sample instrumentalvariables regression models with one endogenous regressor and potentially weak instruments. weaktsiv includes the classic two-sample two-stage least-squares estimator whose inference is valid only under the assumption of strong instruments.

  It also includes statistical tests and confidence sets with correct size and coverage probabilities even when the instruments are weak.