Question: In an instrumental variable regression model with one regressor, Xi, and two instruments, Z1i and Z2i, the value of the J-statistic is J = 18.2.

In an instrumental variable regression model with one regressor, Xi, and two instruments, Z1i and Z2i, the value of the J-statistic is J = 18.2.
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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