Duffy

Question 1

Wald statistic under H0 is distributed…

Answer 1

Chi-squared with dr deg. freedom
W/dr distributed F
dr = number of linear restrictions

Question 2

Hausman test

Answer 2

Test for regressor exogeneity
Based on the difference between 2 estimates (OLS vs 2SLS)
Leads to a Wald statistic

Question 3

2 ways to test for regressor exogeneity

Answer 3

Hausman test

Using control function

Question 4

Sargan test (overidentifying restrictions)

Answer 4

Test IV-ORTH
Regress the 2SLS residuals on the instruments
Leads to a Wald statistic

Question 5

Cragg-Donald test

Answer 5

Tests the rank condition
Rank of symmetric matrix = number of non-zero eigenvalues
Involves regressing each instrument on the endogenous variable

Question 6

Problem with weak instruments

Answer 6

Rank condition nearly violated,

Render standard methods for conducting inference invalid: t-tests and Wald stats breaks down

Question 7

Rough test for weak instruments

Answer 7

compare the 1st stage F statistic in a model with only one endogenous regressor with a critical value of 10

Question 8

Anderson-Rubin test

Answer 8

Test to deal with weak instruments and still conduct inference

Question 9

What is the Hansen test for?

Answer 9

Overidentifying restrictions