Author Question: To calculate the J-statistic you regress the A) squared values of the TSLS residuals on all ... (Read 525 times)

mynx · **on:** Jun 29, 2018

To calculate the J-statistic you regress the

A) squared values of the TSLS residuals on all exogenous variables and the instruments. The statistic is then the number of observations times the regression R2.
B) TSLS residuals on all exogenous variables and the instruments. You then multiply the homoskedasticity-only F-statistic from that regression by the number of instruments.
C) OLS residuals from the reduced form on the instruments. The F-statistic from this regression is the J-statistic.
D) TSLS residuals on all exogenous variables and the instruments. You then multiply the heteroskedasticity-robust F-statistic from that regression by the number of instruments.

Question 2

In the case of exact identification

A) you can use the J-statistic in a test of overidentifying restrictions.
B) you cannot use TSLS for estimation purposes.
C) you must rely on your personal knowledge of the empirical problem at hand to assess whether the instruments are exogenous.
D) OLS and TSLS yield the same estimate.