Hi,
I have some questions on IV regression.
I tried different instruments sets, can based on the first stage F
value and the significance of the instruments to determine which is
weak instrument? Normally how do you decide which is the best
instrument for the model?
Different IV sets also make my sub-samples have differnt size, can I
conclude that the dependent variable are due to the sample size but
not the choice of IV? (I am not sure whether my question is clear or
not)
The last question is that, I run IV regression, then I run OLS based
on the selected sample (reg Y X if e(sample) ) and then use Hausman
test.
however, the Chi2 i got under every IV regressions are very small.
and the prob>chi2 are all greater than .8. what shall I do? Is it
meaningful to interpretate the 2sls results then?
thank you so much,
Dongshu
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