Testing for Weak Instruments in Linear IV Regression
2. The IV Regression Model, the Proposed Test Statistic, and Weak Instrument Asymptotics 2.1. The IV Regression Model We consider the linear IV regression model (1.1) and (1.2), generalized to have n included endogenous regressors Y and K1 included exogenous regressors X: y = Yβ + Xγ + u, (2.1) Y = ZΠ + XΦ + V, (2.2)
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