| Author | Daniel Berkowitz, Mehmet Caner*, Ying Fang |
| Content | We show that when instruments are nearly exogenous, the two stage least squares t-statistic unpredictably over-rejects or under-rejects the null hypothesis that the endogenous regressor is insignificant and Anderson-Rubin test over-rejects the null. We prove that in the limit these tests are no longer nuisance parameter free. |
| JEL-Codes | C30 |
| Keywords | Valid Instruments, Weak Identification, Inference. |
