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ycroissant / plm

Panel Data Econometrics with R
GNU General Public License v2.0
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Stata's 'weakivtest' with plm? #8

Closed afmaschke closed 3 years ago

afmaschke commented 3 years ago

Hi,

I was wondering whether plm has a built in command for calculating the 'effective F statistic' for weak instrument tests? In stata, the user-written command 'weakivtest' calculates the effective F, see: https://journals.sagepub.com/doi/pdf/10.1177/1536867X1501500113

The test was developed by Montiel Olea and Pflueger (2013): https://www.carolinpflueger.com/MOP_FINAL_May14.pdf

I couldn't find anything related to this test in the vignette, so thought I'd ask here.

Thank you for your time!

tappek commented 3 years ago

You did not oversee something: we do not have this test in the package.

afmaschke commented 3 years ago

OK, thanks.

tappek commented 3 years ago

Did you look for implementations in R in general (I did not)? If there are any, maybe they accept plm`s IV models out of the box or can be modified to accept them.

afmaschke commented 3 years ago

Yeah, I've looked around, but couldn't find anything unfortunately. Thanks for the suggestion though.