| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061700 | Economics Letters | 2008 | 4 Pages |
Abstract
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.
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Economics and Econometrics
Authors
Daniel Berkowitz, Mehmet Caner, Ying Fang,