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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