Endogeneity Flashcards
1
Q
Endogeneity
A
beta of OLS isn’t consistent
2
Q
Intrumental variables
A
An instrument for x_i^k in a regression of y_i on x_i is a variable z_i that satisfies two condifions:
3
Q
IV estimator, just identified case
A
4
Q
2SLS
A
5
Q
Asymptiotic properties 2SLS
A
V has a sandwich expression
6
Q
Estimator for the variance of the 2SLS
A
7
Q
Sargan test
A
- Homoskedasticity is assumed
- Null hypothesis: Z’u=0
- The u_hats are with the X, not the X_hats
