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but are worried about the endogeneity of Y₂, you have 2 potential instruments, denoted Z₁, and Z₂. You have n = 100 observations and estimate the following models by OLS:

but are worried about the endogeneity of Y₂, you have 2 potential instruments, denoted Z₁, and Z₂. You have n = 100 observations and estimate the following models by OLS:

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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You are interested in estimating the following model: Y₁ = Bo + B₁Y₂ + B₂X₁1 + B3 X2 + ni but are worried about the endogeneity of Y₂, you have 2 potential instruments, denoted Z₁, and Z2. You have n = 100 observations and estimate the following models by OLS: Dep. Variable Y Y₁ Y₁ Y₁ Y₂ Y₂ Y₂ 1 n n 2.251 2.114 2.889 1.765 -1.004 -0.883-1.269 0.249 0.086 0.119 0.457 0.221 0.294 1.221 1.001 0.992 0.823 0.445 0.178 0.557 0.678 0.125 0.064 -0.665 1.229 0.886 1.005 -0.216 -0.042 -0.142 -0.707-0.882-0.802 0.221 constant Y₂ X₁ X₂ Y₂ u Y₁ Z Z₂ RSS 0.446 Answer: 14.15 15.05 13.71 -0.112 0.345 0.345 -0.292 13.99 9.45 0.233 0.445 0.141 -0.118 -0.097 10.22 9.35 6.84 7.26 0.114 -0.162 6.26 where û are the residuals and Y₂ are the fitted values from the appropriate 1st stage regression. The F-test for the Hausman-Wu test for endogeneity of Y₂ is: (2 decimal places)
Transcribed Image Text:You are interested in estimating the following model: Y₁ = Bo + B₁Y₂ + B₂X₁1 + B3 X2 + ni but are worried about the endogeneity of Y₂, you have 2 potential instruments, denoted Z₁, and Z2. You have n = 100 observations and estimate the following models by OLS: Dep. Variable Y Y₁ Y₁ Y₁ Y₂ Y₂ Y₂ 1 n n 2.251 2.114 2.889 1.765 -1.004 -0.883-1.269 0.249 0.086 0.119 0.457 0.221 0.294 1.221 1.001 0.992 0.823 0.445 0.178 0.557 0.678 0.125 0.064 -0.665 1.229 0.886 1.005 -0.216 -0.042 -0.142 -0.707-0.882-0.802 0.221 constant Y₂ X₁ X₂ Y₂ u Y₁ Z Z₂ RSS 0.446 Answer: 14.15 15.05 13.71 -0.112 0.345 0.345 -0.292 13.99 9.45 0.233 0.445 0.141 -0.118 -0.097 10.22 9.35 6.84 7.26 0.114 -0.162 6.26 where û are the residuals and Y₂ are the fitted values from the appropriate 1st stage regression. The F-test for the Hausman-Wu test for endogeneity of Y₂ is: (2 decimal places)
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