Are "Nearly Exogenous Instruments" reliable?

Daniel Berkowitz, Mehmet Caner () and Ying Fang

Economics Letters, 2008, vol. 101, issue 1, pages 20-23

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.

Keywords: C30; Valid; instruments; Weak; identification; Inference (search for similar items in EconPapers)
Date: 2008

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Related works:
Working Paper: Are Nearly Exogenous Instruments Reliable? (2006)
Working Paper: Are "Nearly Exogenous" Instruments Reliable? (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:101:y:2008:i:1:p:20-23

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