Dear all,
I wish to test instrument strength for the non-i.i.d error, and I have 3 endogenous variables. I noticed that the STATA command weakivtest by Montiel Olea and Pflueger (2013) is robust to non-i.i.d error, but it is restricted to one endogenous variable. Is there any code or literature suggested regarding multiple endogenous variables?
Great thanks,
Haiyan
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