Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

تمرين 4

(This requires Appendix 12.5) On the textbook Web site www.pearsonhighered.com/stock_watson you will find the data set Weaklnstrument that contains 200 observations on (Y i , X i , Z i ), for the instrumental regression

a. Construct
, its standard error, and the usual 95% confidence interval for ß 1.
b. Compute the F-statistic for the regression of X i on Z i. Is there evidence of a "weak instrument" problem
c. Compute a 95% confidence interval for ß 1 using the Anderson-Rubin procedure. (To implement the procedure, assume that - 5 ß 1 5.)
d. Comment on the differences in the confidence intervals in (a) and (c). Which is more reliable