Are "Nearly Exogenous Instruments" reliable?

被引：31

作者：

Berkowitz, Daniel ^{[2
]}

Caner, Mehmet ^{[1
]}

Fang, Ying ^{[3
]}

机构：

[1] N Carolina State Univ, Dept Econ, Raleigh, NC 27695 USA

[2] Univ Pittsburgh, Dept Econ, Pittsburgh, PA 15260 USA

[3] Xiamen Univ, WISE, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China

来源：

ECONOMICS LETTERS | 2008年 / 101卷 / 01期

关键词：

valid instruments; weak identification; inference;

D O I：

10.1016/j.econlet.2008.03.020

中图分类号：

F [经济];

学科分类号：

02 ;

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：20 / 23

页数：4

共 11 条

[1] Unbundling institutions [J].

Acemoglu, D ;

Johnson, S .

JOURNAL OF POLITICAL ECONOMY, 2005, 113 (05) :949-995

[2] ESTIMATION OF THE PARAMETERS OF A SINGLE EQUATION IN A COMPLETE SYSTEM OF STOCHASTIC EQUATIONS [J].

ANDERSON, TW ;

RUBIN, H .

ANNALS OF MATHEMATICAL STATISTICS, 1949, 20 (01) :46-63

[3] Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space [J].

Andrews, DWK .

ECONOMETRICA, 2000, 68 (02) :399-405

[4]

ANGRIST JD, 1990, AM ECON REV, V80, P313

[5]

DAVIDSON J., 1994, Advanced Texts in Econometrics

[6]

Davidson Russell., 1993, Estimation and Inference in Econometrics

[7]

Hausman JA, 1983, HDB ECONOMETRICS, V1

[8]

PHILLIPS PCB, 1983, HDB ECONOMETRICS, V1, pCH8

[9] Instrumental variables regression with weak instruments [J].

Staiger, D ;

Stock, JH .

ECONOMETRICA, 1997, 65 (03) :557-586

[10] A survey of weak instruments and weak identification in generalized method of moments [J].

Stock, JH ;

Wright, JH ;

Yogo, M .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (04) :518-529

← 1 2 →