On the Stock-Yogo Tables

Christopher Skeels; Frank Windmeijer

doi:10.3390/econometrics6040044

On the Stock-Yogo Tables

Christopher Skeels, Frank Windmeijer

School of Economics

Research output: Contribution to journal › Article (Academic Journal) › peer-review

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Abstract

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 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
6 implementations to be generalised and improved. Finally, we explore the calculation of p-values for the first-stage F-statistic weak instruments test.

Original language	English
Article number	44
Number of pages	23
Journal	Econometrics
Volume	6
Issue number	4
Early online date	13 Nov 2018
DOIs	https://doi.org/10.3390/econometrics6040044 https://doi.org/10.3390/econometrics6040044
Publication status	Published - Dec 2018

Structured keywords

ECON Econometrics
ECON CEPS Data

Keywords

Hypergeometric functions
Hypothesis testing
p-values
Quadratic forms
Stock-Yogo tables
Weak instruments

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10.3390/econometrics6040044

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Cite this

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On the Stock-Yogo Tables

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