WIV - Weak Instrumental Variables is an Ox package for estimation and inference in the instrumental variables regression model on a cross-section. It can be used freely, provided its use is acknowledged. WIV has been written by Marek Jarocinski and commissioned by Francisco Alcala and Antonio Ciccone. It has been used in the paper: Francisco Alcala and Antonio Ciccone, Trade and Productivity, Quarterly Journal of Economics vol. 119, issue 2 - May 2004.

The package includes several estimators and some tests robust to the weak instruments problem.

• OLS
• 2SLS
• LIML (also with Fuller correction)

• usual Wald test
• Anderson-Rubin test
• Kleibergen's (2002) K test (also Kleibergen (2001) test for subset of coefficents)
• Moreira (2002) test (also Moreira (2003) test for subset of coefficients)
• Startz, Nelson and Zivot (2001) test

Graphical capabilities:

• plots of confidence regions corresponding to the above tests

Download the package: iv.zip (178kb)

Documentation in the pdf format: mjiv-desc07.pdf

Note: the package is functioning, but it is still under construction.

The graphical output is significantly enhanced when WIV is used together with Charles Bos' Ox package gnudraw and the open source plotting program gnuplot.