Are "Nearly Exogenous Instruments" reliable?

C-Tier
Journal: Economics Letters
Year: 2008
Volume: 101
Issue: 1
Pages: 20-23

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We show that when instruments are nearly exogenous, the two stage least squares t-statistic unpredictably over-rejects or under-rejects the null hypothesis that the endogenous regressor is insignificant and Anderson-Rubin test over-rejects the null. We prove that in the limit these tests are no longer nuisance parameter free.

Technical Details

RePEc Handle
repec:eee:ecolet:v:101:y:2008:i:1:p:20-23
Journal Field
General
Author Count
3
Added to Database
2026-01-24