Supposedly Strong Instruments and Good Leverage Points

In this paper, we warn on the overoptimistic conclusions led by weak instruments testing when good leverage points are present in the first stage of an IV estimation. Some simulations and an empirical application are provided to illustrate the point raised.

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Year of publication:	2012-02
Authors:	Ugarte, Darwin Ugarte Ontiveros ; Verardi, Vincenzo
Institutions:	Faculté des Sciences Économiques, Sociales et de Gestion (FSESG), Université de Namur
Subject:	Instrumental variables \| Weak instruments \| Outliers \| Robust statistics

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 1203 11 pages
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C12 - Hypothesis Testing ; O1 - Economic Development
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009652004