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ENH: Anderson-Rubin F-test of endogenous regressors for IV regression #372

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rubslopes opened this issue Nov 30, 2021 · 1 comment
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@rubslopes
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Title. Nowadays, this test is even more important than the First Stage F. It'd be a great implementation.

@bashtage bashtage changed the title Feature request: Add Anderson-Rubin F-test of endogenous regressors for IV regression ENH: Anderson-Rubin F-test of endogenous regressors for IV regression Nov 30, 2021
@WanBenLe
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WanBenLe commented Jun 8, 2022

I found some documentation that may help to systematically update the work involved:

http://scholar.harvard.edu/files/wirev_092218-_corrected_0.pdf

www.cambridge.org/core/journals/econometric-theory/article/abs/large-system-of-seemingly-unrelated-regressions-a-penalized-quasimaximum-likelihood-estimation-perspective/049B50430D3563728D69E541D5BEFE37

We can also check the results from Stata's ivreg2 module.
http://fmwww.bc.edu/RePEc/bocode/i/ivreg2.html

I may follow up with related work, but I'm not sure if I just need to add related tests in the following places:
linearmodels\iv\results.py : Class-IVResults

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