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Flashcards in Duffy Deck (9)
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1

Wald statistic under H0 is distributed...

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

2

Hausman test

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

3

2 ways to test for regressor exogeneity

Hausman test
Using control function

4

Sargan test (overidentifying restrictions)

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

5

Cragg-Donald test

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

6

Problem with weak instruments

Rank condition nearly violated,
Render standard methods for conducting inference invalid: t-tests and Wald stats breaks down

7

Rough test for weak instruments

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

8

Anderson-Rubin test

Test to deal with weak instruments and still conduct inference

9

What is the Hansen test for?

Overidentifying restrictions