Hi everyone,
Say I have two IVs but they are very highly correlated between
themselves. Is it still useful to use both to instrument for the same
endogenous regressor and then run overidentification tests, or should
I just choose one of them given to intrument for the endogenous
regressor (given that the two IVs are so highly correlated...perhaps
this causes problesms?)?
Thank you
Good evening,
Carlos Rodriguez
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