A robust test for weak instruments with multiple endogenous regressors in Stata

In this article, I introduce a novel command, weakivtest2 , that implements the robust bias-based test for weak instruments for two-stage least squares with multiple endogenous regressors proposed by Lewis and Mertens (Forthcoming, Review of Economic Studies , https://doi.org/10.1093/restud/rdaf103 ). The weakivtest2 command allows for absolute and relative bias criteria, local-to-zero and local-to-rank-reduction-of-one asymptotics, and testing for either the full vector or the individual elements of the two-stage least-squares estimator. weakivtest2 is a postestimation command for ivreg2, xtivreg2, and ivreghdfe .