The best tests for this are those suggested by Rosenbaum in his reply  
to the Angrist, Imbens and Rubin 1996 JASA.    He discusses this  
further in his statistical science paper in 2002 and in JRSS A in 2005  
with Guido Imbens and in more recent JASA papers.

He suggest using a nonparametric sensitivity test.  This allows you to  
quantify how sensitive your estimate is to the exclusion restriction.   
The nice thing about these tests is they provide correct coverage on  
the estimate by causing the confidence interval on the IV estimate to  
slide out possibly to infinity which can happen when the instrument is  
weak.


Luke Keele
Assistant Professor
Dept. of Political Science
Ohio State University




On Nov 30, 2008, at 4:03 PM, Carola Herrera wrote:

> Dear list,
>
> I need to run a test to find out how sensitive my estimates are to  
> violations of the exclusion restriction of the instrumental variable  
> I am using.  Could anyone let me know what the code is in STATA10?
> Or perhaps suggest an article that walks one thru the steps?
>
> Thank you.
> Carola
>
>
>
>
>
>
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