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Final Review

Sophia Zhengzi Li1

1 Department

of Economics

Duke University

Econ 139/239

1 / 61

Content

The final will be cumulative, but will be biased toward more recent

material (i.e. Binary Dependent Variables, Panel Data, IV).

Todays slides provide a good indication of the topics that I believe are

important.

Stop me if you have any questions!

Problem set, Quiz, in-class practice and Discussion session are the best

indication of exam content and style.

The exam is closed book, but you will be allowed to use the final cheat

sheet.

You should bring a calculator, since you will be doing several

calculations!

Econ 139/239

2 / 61

model

Yi = 0 + 1 Xi + ui

which we estimated using OLS.

In order for OLS to have the properties that we value in an estimator

(unbiasedness, consistency, and asymptotic normality)1 , we needed to

make some assumptions.

(Var (ui | Xi ) = 2 ) as well. However, we usually wont make this assumption.

Final Review (Duke)

Econ 139/239

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OLS Assumption 1 Linearity

E (ui | Xi ) = 0

OLS Assumption 2 Simple random sample

OLS Assumption 3 No extreme outliers

ui and Xi have non-zero & finite fourth moments:

0 < E Xi4 < and 0 < E ui4 <

Given OLS assumptions 1-3, the OLS estimators are:

Unbiased

Consistent

Asymptotically Normal

Econ 139/239

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However, univariate OLS has a big limitation: if the regressor (Xi ) is

correlated with a variable that has been omitted from the analysis,

but that determines (in part) the dependent variable, then the OLS

estimator will suffer from omitted variable bias (OVB).

OVB occurs when two conditions are true:

The OV is correlated with the included regressor

The OV is a determinant of the dependent variable

The error term ui represents all factors (other than Xi ) that are

determinants of Yi .

If one of these factors is correlated with Xi , then the error term will

be correlated with Xi .

Econ 139/239

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Since this violates OLS A1, OLS wont just be biased but also

inconsistent, so OVB is a problem whether the sample size is large or

small.

The magnitude and direction of the bias depends on the correlation

between the regressor and the omitted variable (or more generally, the

error term).

The best solution to the OVB problem is to add (if you can) the

other relevant variables to the regression.

If you cant, you will have to use another method (like Fixed Effects) to

solve the problem.

Econ 139/239

6 / 61

Yi = 0 + 1 X1i + ... + k Xki + ui

0 is the intercept (the mean impact of unobserved factors) and k is

the slope coefficient of Xk .

k represents the expected change in Y associated with a unit

change in Xk , holding all other regressors constant.

We can estimate the parameters of the multiple regression model

using OLS, by minimizing the sum of the squared prediction errors.

Econ 139/239

7 / 61

E (ui | X1i , ..., Xki ) = 0

OLS Assumption 2 Simple random sample

OLS Assumption 3 No extreme outliers

X1i , ..., Xki , ui have non-zero & finite fourth moments

OLS Assumption 4 No perfect collinearity

Regressors are not linear combinations of each other

Given OLS A1-A4, OLS is unbiased, consistent, and asymptotically

normal.

Econ 139/239

8 / 61

Homoskedasticity

would add:

OLS Assumption 5 Homoskedasticity

Var (ui | X1i , ..., Xki ) = 2

Adding OLS Assumption 5 makes OLS efficient and allows us to use

HO standard errors (but this assumption is often violated in the data).

Econ 139/239

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To test the hypothesis H0 : j = j,0 against the alternative

HA : j 6= j,0

Compute the standard error of bj , SE bj

Compute the t-statistic

bj j,0

t=

SE bj

Compute the p-value

p-value = 2 t act

where t act is the value of the t-statistic actually computed. Reject H0

at the 5% significance level if the p-value is less than 0.05, or

equivalently, if |t act | > 1.96.

Econ 139/239

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When the sample size is large, a 95% confidence interval for j can

be constructed as

bj 1.96 SE bj , bj + 1.96 SE bj

Remember that this confidence interval contains the true value of j

with a 95% probability (i.e. it contains the true value of j in 95% of

all possible randomly selected samples).

Equivalently, it is also the set of values of j that cannot be rejected

by a 5% two-sided hypothesis test.

Econ 139/239

11 / 61

Why might you want to?

If you think the coefficients are individually insignificant because of

near perfect multicollinearity.

Assuming A1-A4 and a large sample size, you can use the F -statistic.

To do so in practice, you need to:

1

2

3

4

freedom), call this q.

Compute F -statistic.

Check table for Fq, (or use the p-value, if it is provided).

Reject the null if p-value < or F -Stat > Fq, .

Econ 139/239

12 / 61

Goodness of Fit

There are 3 main ways to measure goodness of fit.

1

the spread of the distribution of Y around the regression line, but it

depends on the units of Y .

R 2 - The regression R 2 is the fraction of the sample variation in Yi

explained by the regressors.

2

bi Y

Y

ESS

SSR

R2 =

2 = TSS = 1 TSS

Y Y

i

regressor is added (unless its perfectly multicollinear with the original

regressors).

2

2

R - R adjusts for this by deflating the R 2 by a penalty factor:

2

R = 1

Final Review (Duke)

s2

n 1 SSR

= 1 2ub

n k 1 TSS

sY

Econ 139/239

13 / 61

2

statistically significant or that the regressors are a true cause of the

dependent variable.

2

A high R 2 or R does not mean that there is no omitted variable bias

or that you have the best possible set of regressors.

2

Neither R 2 nor R can prove our model is wrong or right.

2

You can have a good model but a low R 2 and R because Var (ui ) is

large

2

Can also have a bad model with R 1 (spurious regression)

Econ 139/239

14 / 61

about causal effects are valid for the population being studied.

We know that internal validity hinges on two things:

1

would be nice too, but its not always feasible).

Hypothesis tests should have the desired significance level (i.e. you

should be using the correct standard errors).

Econ 139/239

15 / 61

Consider the simple univariate regression

Yi = 0 + 1 Xi + ui

We know that:

Xi X ui

b

1 = 1 +

2

Xi X

(Xi X )ui p

Since b1 = 1 +

2 1 +

( Xi X )

Cov (Xi , ui ) 6= 0.

Xu

,

X2

b1 will be inconsistent if

well.

So when might this occur?

Econ 139/239

16 / 61

Yes Include it! (Multivariate regression analysis)

No

Use Panel Data (fixed effects).

Use IV.

Design an experiment.

Approximate with a nonlinear functional form like a polynomial

regression.

Econ 139/239

17 / 61

Simultaneous causality

X causes Y , but Y in turn causes X

Use IV.

Design an experiment.

Get more accurate measurements.

Use Instrumental Variables (IV) or model the form of error.

Sample selection

The availability of data is related to the value of the dependent

variable.

Use a model that corrects for selection bias.

Econ 139/239

18 / 61

Nonlinearities

Identifying and Modeling Nonlinearities

The basic OLS model assumes that the X s are all linearly related to

Y through the population regression line.

What if this is not the case?

We looked at two methods for modeling nonlinearities using OLS:

Allowing the effect on Y of a unit change in X1 to depend on the value

of another independent variable X2 (or perhaps more than one).

This method uses dummy variables and interactions.

of X1 itself

This method uses nonlinear functions of the X s like polynomials and

logarithms

Econ 139/239

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Nonlinearities

Econ 139/239

20 / 61

Through the use of the interaction term Xi Di , the population

regression line relating Yi and the continuous variable Xi can have a

slope or intercept that depends on the binary variable Di . There are

three possibilities:

1

Yi = 0 + 1 Xi + 2 Di + ui

Yi = 0 + 1 Xi + 2 Di + 3 (Xi Di ) + ui

Yi = 0 + 1 Xi + 2 (Xi Di ) + ui

Econ 139/239

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Econ 139/239

22 / 61

Quadratic Regression

change in X to depend on the value of X itself, rather than some

other variable.

One way to do this is to run a quadratic regression

Yi = 0 + 1 Xi + 2 Xi2 + ui

Note that this regression is linear in the parameters: after creating

the variable Xi2 we can still use OLS to estimate the parameters.

Econ 139/239

23 / 61

Quadratic Regression

Y = f (X1 , X2 , ..., Xk ) + u

so the expected effect on Y of a change in Xi is then

Y = f (X1 , ..Xi + Xi , .., Xk ) f (X1 , ..Xi , .., Xk )

Notice that this formula applies both to the examples in Chapter 8,

where f is a nonlinear function of the X s but a linear function of the

parameters ( s) , and to the examples in Chapter 11, where f can be

a nonlinear function of the parameters as well as the X s.

Econ 139/239

24 / 61

Quadratic Regression

The estimator of the unknown population difference

Y = f (X1 , ..Xi + Xi , .., Xk ) f (X1 , ..Xi , .., Xk )

is just the difference between the predicted values

b =b

Y

f (X1 , ..Xi + Xi , .., Xk ) b

f (X1 , ..Xi , .., Xk )

For a quadratic regression

bi = b0 + b1 Xi + b2 Xi2

Y

we have

b

Y

= b0 + b1 (Xi + Xi ) + b2 (Xi + Xi )2 b0 + b1 Xi + b2 Xi2

= b1 X i +2 b2 Xi (Xi ) + b2 (Xi )2

Final Review (Duke)

Econ 139/239

25 / 61

Quadratic Regression

Notice that to compute this you will need to know b1 and b2 , the

initial value of Xi , and the size of the change Xi .

To compute the standard error of the effect on Y of changing X in

the quadratic regression, you need to compute

b

Y

b =

SE Y

F

where F is the F -statistic from the null hypothesis that the effect is

zero, which will depend on the coefficients on X and X 2 , the initial

value of Xi , and the size of the change Xi .

Econ 139/239

26 / 61

Polynomial Regression

which extends the quadratic specification to higher order polynomials

(X 3 , X 4 , etc.).

As in the quadratic regression, calculating the effect of a change in

one regressor involves requires the difference in predicted values.

Since this can be tedious, researchers often prefer to use logarithms to

model nonlinearities.

Econ 139/239

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Logarithms are often useful because they convert changes in variables

into percentage changes:

X

X

X + X

= ln (X + X ) ln (X )

(when

is small)

ln

X

X

X

This approximation makes their coefficients simpler to interpret and

perform tests on than the coefficients in quadratic or polynomial

regressions, which is very convenient.

The advantage of logs over polynomials (or quadratics) is that

interpretation and tests are easier.

This disadvantage is that you have to decide on the shape of the

relationship beforehand.

Econ 139/239

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There are three main ways to use logs in regressions:

1

Linear-log model

Log-linear model

Log-log model

Linear-log model

Assume that the regression has the following shape

Y = 0 + 1 ln X + u

When would we want to use this approach?

Econ 139/239

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Log-linear model

What if we apply the log to Y instead of X ?

Now the regression has the following shape

ln Y = 0 + 1 X + u

When would we want to use this approach?

100 1 % change in Y .

Log-log model

Now the regression has the following shape

ln Y = 0 + 1 ln X + u

When would we want to use this approach?

Final Review (Duke)

Econ 139/239

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Econ 139/239

31 / 61

OLS.

The key here is to reinterpret the predicted values as probabilities.

Why is this interpretation legitimate?

The population regression function is a conditional expectation

(E (Y | X1 , ..., Xk )) and here Y is a 0/1 binary variable, so its

expected value is simply the probability that Y = 1.

E (Y | X1 , ..., Xk ) = P (Y = 1 | X1 , ..., Xk )

Econ 139/239

32 / 61

model since it models the probability that Y = 1 with a straight line.

P (Y = 1 | X1 , ..., Xk ) = 0 + 1 X1 + ... + k Xk

i measures the change in P (Yi = 1) due to a unit change in Xi , or

if Xi is a dummy variable (Di ) it measures the change in P (Yi = 1)

associated with changing Di from being equal to 0 to being equal to

1.

Econ 139/239

33 / 61

Most of the tools weve learned so far carry over to the LPM.

confidence intervals, hypothesis tests, & interactions are the same.

2

only R 2 and R dont, since the fitted values are always somewhat far

from Yi .

However, the LPM has a serious flaw: you can get predicted

probabilities that are greater than one or less than zero.

For this reason, we introduced two nonlinear specifications (logit and

probit) to correct this flaw.

Econ 139/239

34 / 61

With the LPM

E (Yi | X1i , ..., Xki ) = P (Yi = 1 | X1i , ..., Xki )

= 0 + 1 X1 + ... + k Xk

which can lead to predicted probabilities outside the unit interval.

Probit and logit use CDFs to model f (X1i , ..., Xki ) , which keeps the

predictions inside this interval.

The Probit model uses the standard normal CDF so

f (X1 , ..., Xk ) = ( 0 + 1 X1 + ... + k Xk )

The Logit uses the standard logistic CDF

f (X1 , ..., Xk ) =

Final Review (Duke)

e 0 + 1 X1 +...+ k Xk

F ( 0 + 1 X1 + ... + k Xk )

1 + e 0 + 1 X1 +...+ k Xk

Econ 139/239

35 / 61

Both are essentially fitting an S shaped curve through the data, and

produce pretty similar results, so choosing between them is usually a

matter of preference (i.e. arbitrary).

Econ 139/239

36 / 61

One drawback relative to the LPM is that the coefficients from the

logit or probit do not have simple interpretations.

Both the predicted values and differences in predicted values are

non-linear functions of the s and X s.

and the effect of a unit change in a regressor (often evaluated at the

mean value of the other regressors).

Econ 139/239

37 / 61

values of X1 , X2 , ..., Xk is calculated by computing the z-value,

z = b0 + b1 X1 + ... + bk Xk , and then looking up this z-value in the

normal distribution table.

For the logit model, the predicted probability that Y = 1, given

values of X1 , X2 , ..., Xk is calculated by computing the value of

b0 + b1 X1 + ... + bk Xk , and then plugging this value into the logistic

cumulative distribution function

e 0 + 1 X1 +...+ k Xk

b

f (X1 , ..., Xk ) =

1 + e b0 + b1 X1 +...+ bk Xk

Econ 139/239

F b0 + b1 X1 + ... + bk Xk

38 / 61

1

regressors,

the regressors, and

Econ 139/239

39 / 61

Estimation

parameters enter both the logit and probit nonlinearly.

In other words, both

E (Yi | X1i , ..., Xki ) = ( 0 + 1 X1 + ... + k Xk )

and

E (Yi | X1i , ..., Xki ) = F ( 0 + 1 X1 + ... + k Xk )

are nonlinear in the coefficients ( s) so we cant use OLS.

Instead, the coefficients of the probit and logit models are estimated

using maximum likelihood.

Econ 139/239

40 / 61

To use ML, we treat the joint probability distribution of the data as a

function of the unknown coefficients.

If we know the distribution of the data as a function of the

parameters, bMLE is the parameter(s) that maximize the likelihood of

our data.

For probit, the log-likelihood is

ln L (Y1 , ..., Yn | X1i , .., Xki ; 0 , .., k ) =

[yi ln ( 0 + . + k Xk ) + (1 yi ) ln (1 ( 0 + . + k Xk ))]

The MLE then solves

Max [yi ln ( 0 + . + k Xk ) + (1 yi ) ln (1 ( 0 + . + k Xk ))]

0 ... k

Econ 139/239

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0 ... k

Since this does not have a nice closed form solution, we cant

represent the estimators using simple formulas (like we could with

OLS).

Instead, we must use a computer algorithm to maximize the function

numerically.

But we know that under fairly general conditions, ML estimation is

consistent, asymptotically normal, and efficient.

Econ 139/239

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Because the MLE is asymptotically normal, statistical inference about

the probit and logit coefficients is carried out in the same manner as

in OLS.

As usual, we can use a t-ratio or F-stat to test hypotheses about one

or more coefficients.

2

somewhat far from Yi so instead, we can use

ln Lmax

probit

Pseudo-R 2 = 1

max

ln (Lbernoulli )

where Lmax

probit is the value of the maximized probit likelihood and

Lmax

bernoulli is the value of the maximized Bernoulli likelihood

Econ 139/239

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max

The formula for the logit simply replaces Lmax

probit with Llogit :

Pseudo-R 2 = 1

ln Lmax

logit

ln (Lmax

bernoulli )

The Pseudo-R 2 tells us how well the probit or logit does relative to a

simple Bernoulli model, so a higher value means that the probit (or

logit) does a better job of explaining the data.

Econ 139/239

44 / 61

omitted variables problem.

If we are willing to assume that the omitted variables are constant

over time, we can solve the OV problem by collecting panel data from

the same units (e.g. people, firms, states) for several time periods (at

least two).

Econ 139/239

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write our regression model as

Yit = 0 + 1 X1,it + ... + k Xk,it + i + uit

(1)

A fixed effect i which includes all unobserved variables that are

constant over time2 for each unit i

A second component uit which contains all the remaining (time-unit

specific) error.

2 If we believe that there is a third component of the error ( ) that varies over time

t

but is constant across units, we can also add a time fixed effect.

Final Review (Duke)

Econ 139/239

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Random Effects

If the fixed effect i is uncorrelated with all the included regressors in

all time periods (Cov (i , Xj,it ) = 0) we can still use OLS to estimate

Yit = 0 + 1 X1,it + ... + k Xk,it + i + uit

but it will be more efficient to use an estimator that accounts for the

fact that the observations are no longer iid (due to the presence of

i ).

We can do so by using a particular form of GLS (Generalized Least

Squares) known as the random effects (RE) estimator.

If the fixed effect i is correlated with one of more of the included

regressors (Cov (i , Xj,it ) 6= 0), RE will be inconsistent.

In this case, we should use the fixed effects (FE) estimator, which

differences i away, allowing us to use OLS.

Final Review (Duke)

Econ 139/239

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Fixed Effects

Specifically, by subtracting the average of both sides of

Yit = 0 + 1 X1,it + ... + k Xk,it + i + uit

from itself, we are left with

which no longer includes the fixed effect i and can be estimated

using OLS.

Intuitively, we are exploiting the panel nature of the data to hold the

unobserved effect (i ) constant, even though we cant measure it.

Since we are regressing changes of Y on changes of X s, the fixed

effect wont play any role in this regression since, by definition, the

fixed effect did not change over time.

Final Review (Duke)

Econ 139/239

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When Cov (i , Xj,it ) = 0, both FE and RE are consistent, but RE is

more efficient.

If Cov (i , Xj,it ) 6= 0, FE is unbiased and consistent, but RE is not, so

FE is more robust.

Therefore, you should only use RE if Cov (i , Xj,it ) = 0.

You can test this condition with a Hausman test.

Econ 139/239

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Hausman Test

Formally, the Hausman test involves constructing a test statistic

which measures the normalized difference of the coefficients estimated

using RE and FE respectively.

coefficients (that vary over time).

Since the null hypothesis of the test statistic is that the coefficients

are the same, a rejection of the null implies that RE is inconsistent

(so we should use FE instead).

Final Review (Duke)

Econ 139/239

50 / 61

Instrumental Variables

for addressing the endogeneity problem.

Consider the simple univariate regression

Yi = 0 + 1 Xi + ui

(2)

if Xi is endogenous).

IV or 2SLS is an estimation technique that can be used instead of

OLS to recover consistent estimates of the parameters.

2SLS can be used when particular variables called instruments are

available.

Econ 139/239

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Instrumental Variables

Yi = 0 + 1 Xi + ui

(2)

1

Instrument relevance

Cov (Zi , Xi ) 6= 0 (Usually easy to satisfy)

Instrument exogeneity

Cov (Zi , ui ) = 0 (Usually hard to satisfy)

correlated with u, and then use the good (uncorrelated) part alone

to estimate (2).

Econ 139/239

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Instrumental Variables

So how does IV work?

Assume that the relation between the endogenous variable Xi and the

instrument Zi is described by the following linear model:

Xi = 0 + 1 Zi + vi

where, if Zi is a valid instrument, (0 + 1 Zi ) is uncorrelated with

the error term ui (but Cov (vi , ui ) 6= 0).

2SLS3 estimates the parameter 1 in

Yi = 0 + 1 Xi + ui

using only the component of Xi that is uncorrelated with the error.

3 Although this discussion concerns the univariate case with one instrument, the

general case is a simple extension.

Final Review (Duke)

Econ 139/239

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Instrumental Variables

This procedure is called 2SLS because it involves two steps:

1

predicted value will then be

b (Xi | Zi ) =

b0 +

b1 Zi

X i = E

& b2SLS

0

1

In practice, the two steps are performed jointly, which also computes

the correct standard errors.

The formula for this 2SLS estimator is given by

n

2SLS

=

1

Zi Z

Zi Z

i =1

n

Yi Y

d (Zi , Yi )

Cov

= Cov

d (Zi , Xi )

Xi X

i =1

Econ 139/239

54 / 61

Inference in 2SLS

asymptotically normal (CAN).

b2SLS has a sampling distribution that is

Specifically, in large

samples,

1

approximately N 1 , b22SLS where

1

b22SLS =

1

1 var [(Zi Z ) ui ]

n [Cov (Zi , Xi )]2

terms.

Statistical inference is again straightforward (provided that you use

standard errors that take the two stage procedure into account).

Econ 139/239

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So what if you have more than one endogenous variable?

For the general case, the equation of interest is

Yi = 0 + 1 X1i + .. + k Xki + k +1 W1i + .. + k +r Wri + ui

The 2SLS estimator is still computed in two stages:

1

Regress each Xji on the instruments (Z1i , ..., Zmi ) and the included

exogenous

regressors

(W1i , ..., Wri ) using OLS. Compute the predicted

b1i , ..., X

bki from these k regressions.

values X

b1i , ..., X

bki and the included

Regress Yi on the predicted values X

exogenous regressors (W1i , ..., Wri ) using OLS.

In practice, the two steps are done jointly, in order to compute the

correct standard errors.

Final Review (Duke)

Econ 139/239

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We need at least as many instruments as endogenous regressors

(otherwise we cant estimate the parameters).

If m = k the equation is exactly identified.

If m > k the equation is over-identified.

If m < k the equation is under-identified.

However, if we are over-identified, we can test instrument exogeneity.

Econ 139/239

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With relevance the issue is not just whether the instrument is

relevant, but how relevant.

The degree of relevance is called strength.

An instrument Z is weak if Cov (Zi , Xi ) 0.

Instrument weakness is a problem since

d (Zi , Yi )

Cov

b2SLS =

d (Zi , Xi )

Cov

d (Zi , Xi ) 0 then b2SLS explodes (and so will 22SLS ).

so if Cov

b

1

Econ 139/239

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using the following rule of thumb test

If the F -statistic testing the null hypothesis that the coefficients on the

instruments are all zero in the first stage regression is less than 10, you

have weak instruments.

different technique (or getting better instruments).

Econ 139/239

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Instrument Exogeneity

b s will be correlated with u and 2SLS will be inconsistent.

X

Defeats the purpose of 2SLS since it cant isolate the good part of X .

by using the test of over-identifying restrictions (OIR), which works as

follows.

Exogeneity means u is uncorrelated with the Z s.

We dont observe ui but we can estimate it with the 2SLS coefficients

u i2SLS = Yi b2SLS

b2SLS

X1i .. b2SLS

0

1

k +r Wri

Econ 139/239

60 / 61

Instrument Exogeneity

If we use OLS to estimate the regression coefficients in

u i2SLS = 0 + 1 Z1i + .. + m Zmi + m+1 W1i + .. + m+r Wri + ei

we can then use the F -statistic testing the null hypothesis

H0 : 1 = ... = m = 0

to construct the OIR test statistic

d

J = mF 2mk

where m is the number of instruments and k is the number of

endogenous variables.

Since the null hypothesis of this test is that u is uncorrelated with the

Z s, rejecting the null implies that the instruments are not exogenous.

Final Review (Duke)

Econ 139/239

61 / 61

- ECON2206 Assignment 2 William Chau z3376203Загружено:Peter Dundaro
- EconometricsЗагружено:mriley@gmail.com
- PanelDataNotes-2Загружено:Satish Sahoo
- INDUSTRY GROWTH AND CAPITAL ALLOCATION.pdfЗагружено:Nguyen Thanh Nhan
- What_determines_women_s_autonomy.pdfЗагружено:Jaffar Mastoi
- 2014 SSAC the Hot Hand a New ApproachЗагружено:jschmoe333
- Wall Ent in 2016Загружено:Cezar Migliorin
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