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Assessing the strength of many instruments with the first-stage F and Cragg-Donald statistics
As for the Cragg-Donald statistic, we obtain an asymptotically valid correction in the case of two endogenous variables.
A specification test for the strength of instrumental variables
This paper develops a new specification test for the instrument weakness when the number of instruments $K_n$ is large with a magnitude comparable to the sample size $n$.
Unified and robust Lagrange multiplier type tests for cross-sectional independence in large panel data models
This paper revisits the Lagrange multiplier type test for the null hypothesis of no cross-sectional dependence in large panel data models.
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