Chat with AI
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 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
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
Explanation
Verified
Verified
We have been given the data of three var...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Why don’t you like this exercise?
Other Minimum 8 character and maximum 255 character
Character 255
