Lewis, Daniel J.; Mertens, Karel - 2022
regressions with multiple endogenous regressors to be robust to heteroskedasticity and autocorrelation. Equivalently, we extend … endogenous regressors. We describe a simple procedure for applied researchers to conduct our generalized first-stage test of … the robust test of Montiel Olea and Pflueger (2013) for one endogenous regressor to the general case with multiple …