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under-identification test for instrumental var

Open StarryCatte opened this issue 1 year ago • 1 comments

I'm now using feols() to estimate a regression with instrumental variable. The number of instrumental variable is less than the number of endogenous variable. How can I test whether the equation is under identified, for example, using Kleibergen-Paap rk LM statistics?

StarryCatte avatar Feb 22 '24 03:02 StarryCatte

Are you misspeaking here? A regression with fewer instrumental variables than endogenous variables should not be able to produce a coefficient estimate. The testing procedure is for the over-identified case where the number of instruments is larger than the number of endogenous variables

kylebutts avatar Mar 26 '24 13:03 kylebutts