I have a regression where my OLS point estimate is statistically significant at the 1% level. The IV regression second stage gives a higher point estimate, but statistically significant at the 5% level.
Specifically:
OLS coefficient: 0.194*** (.026)
IV 2nd stage coefficient: 0.524** (.210)
The F Stat for my instrument is 19
Can I conclude that my OLS estimate is downwards biased?
For context: OLS standard errors are robust (", robust" option of reg command on Stata), and IV standard errors should be robust too (", robust" option of ivreg2 command on Stata). In the related literature of the model that I estimate, OLS estimates are typically downwards biased - and there is a theory for that. I am just wondering if the change in the statistical significance is something that matters, to be able to conclude that OLS is downwards biased in my results too.
Specifically:
OLS coefficient: 0.194*** (.026)
IV 2nd stage coefficient: 0.524** (.210)
The F Stat for my instrument is 19
Can I conclude that my OLS estimate is downwards biased?
For context: OLS standard errors are robust (", robust" option of reg command on Stata), and IV standard errors should be robust too (", robust" option of ivreg2 command on Stata). In the related literature of the model that I estimate, OLS estimates are typically downwards biased - and there is a theory for that. I am just wondering if the change in the statistical significance is something that matters, to be able to conclude that OLS is downwards biased in my results too.
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