Sanderson, Eleanor; Windmeijer, Frank - Centre for Market and Public Organisation (CMPO), … - 2013
We consider testing for weak instruments in a model with multiple endogenous variables. Unlike Stock and Yogo (2005 …), who considered a weak instruments problem where the rank of the matrix of reduced form parameters is near zero, here we … consider a weak instruments problem of a near rank reduction of one in the matrix of reduced form parameters. For example, in a …