Supposedly Strong Instruments and Good Leverage Points
AbstractIn this paper, we warn on the overoptimistic conclusions led by weak instruments testing when good leverage points are present in the first stage of an IV estimation. Some simulations and an empirical application are provided to illustrate the point raised.
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Bibliographic InfoPaper provided by University of Namur, Department of Economics in its series Working Papers with number 1203.
Length: 11 pages
Date of creation: Feb 2012
Date of revision:
Instrumental variables; Weak instruments; Outliers; Robust statistics;
Find related papers by JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- O1 - Economic Development, Technological Change, and Growth - - Economic Development
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