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	Are Nearly “Exogenous Instruments” Reliable?
	Daniel Berkowitz ; Mehmet Caner* ; Ying Fang
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=95
关键词	Valid Instruments Weak Identification Inference.   * Corresponding Author
英文摘要	We show that when instruments are nearly exogenous, the two stage least squares t-statistic unpredictably over-rejects or under-rejects the null hypothesis that the endogenous regressor is insignificant and Anderson-Rubin test over-rejects the null. We prove that in the limit these tests are no longer nuisance parameter free.     JEL Code: C30.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56835]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Daniel Berkowitz,Mehmet Caner*,Ying Fang   . Are Nearly “Exogenous Instruments” Reliable?. 2013.

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