Rodrigo.
(*) Remember that significant is an inference that takes
place after several assumptions: right distribution
(IV estimators are Asymptotically Normal which
means in large-large sample), right assumptions
(validity of the instruments, omitted variables,
specification of the model, etc.) and your personal
choice of alpha (error type 1).
----- Original Message -----
From: "Jian Zhang" <[email protected]>
To: <[email protected]>
Sent: Tuesday, August 22, 2006 7:53 PM
Subject: st: why did IV estimation turn an insignificant included instrument
variable in OLS to be significant in IV estimation?
Dear Statalisters,
I am implementing an IV estimaiton. Compared to robust OLS estimation
results, I found that
one INCLUDED variable changed from insignificant in robust OLS esitmation to
significant in IV
estimation. But, from what I understand, IV esitmators are supposed to
larger standard errors
than OLS estimators. If this is correct, the IV estimators are supposed to
be less significant than
OLS estimators. I wonder why this happened. Is there anyone running into
the same problem
and understanding it? Thank you very much!
Best regards,
Jian Zhang
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