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st: why did IV estimation turn an insignificant included instrument variable in OLS to be significant in IV estimation?


From   "Jian Zhang" <jzh@ucdavis.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: why did IV estimation turn an insignificant included instrument variable in OLS to be significant in IV estimation?
Date   Tue, 22 Aug 2006 16:53:08 -0700 (PDT)

Dear Statalisters,

I am implementing an IV estimaiton.    Compared to robust OLS estimation results, I found that 
one INCLUDED variable changed from insignificant in robust OLS esitmation to significant in IV 
estimation.  But, from what I understand, IV esitmators are supposed to larger standard errors 
than OLS estimators.  If this is correct, the IV estimators are supposed to be less significant than 
OLS estimators.    I wonder why this happened.  Is there anyone running into the same problem 
and understanding it?  Thank you very much!

Best regards,
Jian Zhang    
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