st: Re: why did IV estimation turn an insignificant included instrument variable...

[Kit Baum <baum@bc.edu>]

Jian,
You are probably thinking of the (Durbin-Wu-)Hausman test approach to  
evaluating whether OLS is appropriate, or if you have to use IV. See  
Baum, Schaffer, Stillman, Stata Journal 3(1), also available from my  
website below in preprint form.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 23, 2006, at 2:33 AM, statalist-digest wrote:


> Thanks, Rodrigo!   I remember that I read something, which is that  
> the standard errors for IV
> estimators are always bigger than OLS (that is, the variance- 
> covariance matrix of IV estimators
> minus the variance covariance matrix of OLS is always positive  
> definite).  But I couldn't find any
> textbooks or materials discussing it.
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