In an instrumental variable regression model with one regressor, Xi, and two instruments, Z1i and Z2i, the
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a. Does this suggest that E(ui|Zli, Z2i) ≠ 0? Explain.
b. Does this suggest that E(ui|Z1i) ≠ 0? Explain.
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a Under the null hypothesis of instrument exogeneity the J statistic is d...View the full answer
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Related Book For
Introduction to Econometrics
ISBN: 978-0133595420
3rd edition
Authors: James H. Stock, Mark W. Watson
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