Skeels, Christopher L.; Windmeijer, Frank - In: Econometrics : open access journal 6 (2018) 4, pp. 1-23
A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...
