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Financial Innovation

Table 6 Instrumental variables identification tests. Source: Own estimations

From: Price distortions and municipal bonds premiums: evidence from Switzerland

Underidentification test (Anderson canon. corr. LM statistic):

Sargan statistic (overidentification test of all instruments):

Ho: underidentification of instrumental variables

Ho: overderidentification of instrumental variables

MGIV2SLS

2.20E + 004

Chi-sq P-val

 = 

0.0000

(equation exactly identified)

Chi-sq P-val

 = 

N/A

M1IV2SLS

4993.040

Chi-sq P-val

 = 

0.0000

(equation exactly identified)

Chi-sq P-val

 = 

N/A

M2IV2SLS

1264.148

Chi-sq P-val

 = 

0.0000

(equation exactly identified)

Chi-sq P-val

 = 

N/A

  1. This table presents large Chi2 values in the Instrumental Variables Underidentification test, rejecting the null hypothesis that there are less relevant instruments in the models than endogenous variables. The zero p values state no underidentification of instruments. In the Overidentification test, it is not possible to obtain results as the model is exactly identified. That is there is one endogenous variable t_yield and one instrument chf_eur
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