Show that when the model matrix X is used as the IV matrix Z in instrumentalvariables estimation,

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Show that when the model matrix X is used as the IV matrix Z in instrumentalvariables estimation, the IV and OLS estimators and their covariance matrices coincide. See Equations 9.28 and 9.29 (on page 233).

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Applied Regression Analysis And Generalized Linear Models

ISBN: 9781452205663

3rd Edition

Authors: By John Fox

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Question Posted: Jul 20, 2024 05:01 AM

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Show that when the model matrix X is used as the IV matrix Z in instrumentalvariables estimation,

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Applied Regression Analysis And Generalized Linear Models

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