On the Stock–Yogo Tables

On the Stock–Yogo Tables

A standard test for weak instruments compares the first-stage <i>F</i>-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 s...

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Bibliographic Details
Main Authors: Christopher L. Skeels, Frank Windmeijer
Format: Article
Language:English
Published: MDPI AG 2018-11-01
Series:Econometrics
Subjects:
weak instruments
hypothesis testing
Stock–Yogo tables
hypergeometric functions
quadratic forms
<i>p</i>-values
Online Access:https://www.mdpi.com/2225-1146/6/4/44
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spelling doaj-a79d76558d0c404f94df50cd77a76f952020-11-25T00:34:55ZengMDPI AGEconometrics2225-11462018-11-01644410.3390/econometrics6040044econometrics6040044On the Stock–Yogo TablesChristopher L. Skeels0Frank Windmeijer1Department of Economics, The University of Melbourne, Parkville, 3010, AustraliaDepartment of Economics and IEU, University of Bristol, Bristol, BS8 1TU, UKA standard test for weak instruments compares the first-stage <i>F</i>-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 asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of <i>p</i>-values for the first-stage <i>F</i>-statistic weak instruments test.https://www.mdpi.com/2225-1146/6/4/44weak instrumentshypothesis testingStock–Yogo tableshypergeometric functionsquadratic forms<i>p</i>-values
collection DOAJ
language English
format Article
sources DOAJ
author Christopher L. Skeels
Frank Windmeijer
spellingShingle Christopher L. Skeels
Frank Windmeijer
On the Stock–Yogo Tables
Econometrics
weak instruments
hypothesis testing
Stock–Yogo tables
hypergeometric functions
quadratic forms
<i>p</i>-values
author_facet Christopher L. Skeels
Frank Windmeijer
author_sort Christopher L. Skeels
title On the Stock–Yogo Tables
title_short On the Stock–Yogo Tables
title_full On the Stock–Yogo Tables
title_fullStr On the Stock–Yogo Tables
title_full_unstemmed On the Stock–Yogo Tables
title_sort on the stock–yogo tables
publisher MDPI AG
series Econometrics
issn 2225-1146
publishDate 2018-11-01
description A standard test for weak instruments compares the first-stage <i>F</i>-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 asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of <i>p</i>-values for the first-stage <i>F</i>-statistic weak instruments test.
topic weak instruments
hypothesis testing
Stock–Yogo tables
hypergeometric functions
quadratic forms
<i>p</i>-values
url https://www.mdpi.com/2225-1146/6/4/44
work_keys_str_mv AT christopherlskeels onthestockyogotables
AT frankwindmeijer onthestockyogotables
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