In an instrumental variable regression model with one regressor, Xi, and two instruments, Z1i and Z2i, the

Question:

In an instrumental variable regression model with one regressor, Xi, and two instruments, Z1i and Z2i, the value of the J-statistic is J = 18.2.
a. Does this suggest that E(ui|Zli, Z2i) ≠ 0? Explain.
b. Does this suggest that E(ui|Z1i) ≠ 0? Explain.