1.In a simple model Y = Bo + B₁X +u, X is endogenous, and Z is an instrumental variable that satisfy the relevance and exogeneity conditions. Show that the two stage least squares (TSLS) estimator is consistent.

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter13: Probability And Calculus
Section13.2: Expected Value And Variance Of Continuous Random Variables
Problem 10E
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1.ln a simple model Y = Bo + B1X +u, X is endogenous, and Z is an instrumental variable
that satisfy the relevance and exogeneity conditions. Show that the two stage least squares
(TSLS) estimator is consistent.
2.In above model, what is the asymptotic distribution of TSLS? How can we do a). hypothesis
testing of Bi and b). construct confidence interval for B,?
Transcribed Image Text:1.ln a simple model Y = Bo + B1X +u, X is endogenous, and Z is an instrumental variable that satisfy the relevance and exogeneity conditions. Show that the two stage least squares (TSLS) estimator is consistent. 2.In above model, what is the asymptotic distribution of TSLS? How can we do a). hypothesis testing of Bi and b). construct confidence interval for B,?
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