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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 14
Consider the instrumental variable regression model
+ u i , where Z i is an instrument. Suppose that data on W t are not available and the model is estimated omitting Z i from the regression.
a. Suppose that Z i and Z i are uncorrelated. Is the IV estimator consistent
b. Suppose that Z i and Z i are correlated. Is the IV estimator consistent
+ u i , where Z i is an instrument. Suppose that data on W t are not available and the model is estimated omitting Z i from the regression.a. Suppose that Z i and Z i are uncorrelated. Is the IV estimator consistent
b. Suppose that Z i and Z i are correlated. Is the IV estimator consistent
Explanation
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The covariance between Z and Y is writte...
Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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