Table A2.
Indicative tests of the validity of the instrumental variablesa
| test of excluded instruments | 41.288 |
| H0: excluded instruments do not explain endogenous variable | F(4, 9070): p=0.000 |
| overidentification test (Hansen J statistic) | 3.226 |
| H0: exclusion restrictions of instruments are valid | χ2(3): p=0.358 |
| underidentification test (Kleibergen-Paap LM Statistic) | 143.336 |
| H0:model is underidentified, instruments are not good | χ2(4): p=0.000 |
| endogeneity test of endogenous regressors | 8.996 |
| H0:variable can be considered as exogenous | χ2(1): p=0.003 |
| weak identification test (Kleibergen-Paap rk Wald F statistic) | 41.288 |
| H0:weakly identified system; Stock-Yogo critical value for 5% maximal IV relative bias: | 16.85 |
| weak instrument-robust inference (Anderson-Rubin Wald test) | 13.37 |
| Ho: endog. regr.=0 and overident. restr. are valid | χ2(4): p=0.010 |
a
Tests performed in the linear probability instrumental variable model, where more tests are available than in the dichotomous models for instrumental variables.