What is the purpose of instrument orthogonality test?

12 December 2017 1 6K Report

in 2SLS regression, what is the purpose of instrument orthogonality test?

Dear Sir. Concerning your issue about he purpose of instrument orthogonality test. The Instrument Orthogonality test, also known as the C-test or Eichenbaum, Hansen and Singleton (EHS) Test, evaluates the othogonality condition of a sub-set of the instruments. This test is available for non-panel equations estimated by TSLS or GMM. The Instrument Orthogonality Test evaluates whether this condition possibly holds for a subset of the instruments but not for the remaining instruments. I think the following below links may help you in your analysis:

http://www.eviews.com/help/helpintro.html#page/content/gmmiv-IV_Diagnostics_and_Tests.html

https://pdfs.semanticscholar.org/58f1/0015e3afc7adc6ba5116a24fe00d6799c796.pdf

https://ageconsearch.umn.edu/bitstream/116029/2/sjart_st0030.pdf

http://blog.minitab.com/blog/real-world-quality-improvement/orthogonal-regression-testing-the-equivalence-of-instruments

Thanks

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