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st: Re: why did IV estimation turn an insignificant included instrument variable...


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: why did IV estimation turn an insignificant included instrument variable...
Date   Sat, 26 Aug 2006 16:18:13 -0400

Jian,
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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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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