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Flashcards in Endogeneity Deck (7)
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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