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st: Re: why did IV estimation turn an insignificant included instrument variable...
You are probably thinking of the (Durbin-Wu-)Hausman test approach to
evaluating whether OLS is appropriate, or if you have to use IV. See
Baum, Schaffer, Stillman, Stata Journal 3(1), also available from my
website below in preprint form.
Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:
On Aug 23, 2006, at 2:33 AM, statalist-digest wrote:
Thanks, Rodrigo! I remember that I read something, which is that
the standard errors for IV
estimators are always bigger than OLS (that is, the variance-
covariance matrix of IV estimators
minus the variance covariance matrix of OLS is always positive
definite). But I couldn't find any
textbooks or materials discussing it.
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