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First stage standard errors with multiple instruments #8

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dadepro opened this issue Aug 30, 2023 · 0 comments
Open

First stage standard errors with multiple instruments #8

dadepro opened this issue Aug 30, 2023 · 0 comments

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@dadepro
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dadepro commented Aug 30, 2023

It seems that felm reports incorrect standard errors for the first stage when estimating a model with multiple instruments. Standard errors are correct only for the first lhs variable but not the rest.
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@dadepro