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Rodrigo.
(*) Remember that significant is an inference that takes
place after several assumptions: right distribution
(IV estimators are Asymptotically Normal which
means in large-large sample), right assumptions
(validity of the instruments, omitted variables,
specification of the model, etc.) and your personal
choice of alpha (error type 1).

----- Original Message ----- 
From: "Jian Zhang" <[email protected]>
To: <[email protected]>
Sent: Tuesday, August 22, 2006 7:53 PM
Subject: st: why did IV estimation turn an insignificant included instrument 
variable in OLS to be significant in IV estimation?


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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