Consider a Model with One Endogenous Regressor and Two Instruments

question 35

Multiple Choice

Consider a model with one endogenous regressor and two instruments. Then the J-statistic will be large

• A)if the number of observations are very large.
• B)if the coefficients are very different when estimating the coefficients using one instrument at a time.
• C)if the TSLS estimates are very different from the OLS estimates.
• D)when you use homoskedasticity-only standard errors.

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Definitions:

Significance Level

In statistics, a threshold of probability set for rejecting the null hypothesis, indicating the strength of the evidence against the null hypothesis.

Mean Difference

The average of differences between pairs of observations in a dataset.

Standard Deviation

A statistic that measures the dispersion of a dataset relative to its mean and is calculated as the square root of the variance.

Paired T-test

A statistical test used to compare the means of two related groups to determine if there is a significant difference between them.