Are "Nearly Exogenous Instruments" reliable?

Daniel Berkowitz, Mehmet Caner and Ying Fang

Economics Letters, 2008, vol. 101, issue 1, 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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Citations: View citations in EconPapers (38)

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