# **Table A2 Exogeneity tests**

|||**Easte**|**rn and Souther**|**n Europe (T**<br>Informal|**able 3A)**||
|---|---|---|---|---|---|---|
||Informal|Informal<br>||employee|Informal self-|Unemploye|
|Dependent variable (%)|employees|self-empl.|Unemployed|s|empl.|d|
|<br>Model|<br>[1a]|<br>[1b]|<br>[1c]|[2a]|<br>[2b]|[2c]|
|Suspected variable||_Rule of Law_||_Governmen_|_t Effectiveness_|(lagged 1 year)|
|Exogeneity test (p-value)|0.3388|0.4147|0.6729|0.7107|0.2810|<br>0.4801|
|Excluded instruments|_POLICE_|_POLICE_|_POLICE_|_POLICE_|_FAIRNESS_|_POLICE_|
||(median)|(median)|(median)|(mean)|(p25)|(mean)|
|F-test, first stage|212.43|212.43|212.43|165.68|1318.81|165.68|
|F test of excluded instruments|3.40|3.40|3.40|4.87|23.51|4.87|
|Prob > F|0.0881|0.0881|0.0881|0.0460|0.0003|0.0460|
|Underidentification test (p-v|alue)||||||
|Kleibergen-Paap rk LM<sup></sup>test|0.0948|0.0948|0.0948|0.0489|0.0082|0.0489|
|Instrument validity (p-value)|||||||
|Anderson-Rubin Wald Ftest|0.2105|0.8846|0.6150|0.6769|0.4364|0.4941|
|Stock-Wright LM S stat., P><sup></sup>|0.1574|0.8627|0.5497|0.6135|0.3592|0.4078|
|# clusters/obs/regressors|14/35/9|14/35/9|14/35/9|14/35/11|14/35/11|14/35/11|
||**Informal**<br>|**West**<br>Informal<br>|**ern and Northe**<br>|**rn Europe (**<br>Informal<br>|**Table 5)**<br>Informal<br>||
|Dependent variable (%)|**employees**|self-empl.|Unemployed|employees|self-empl.|**Unemployed**|
|Model|[1a]|[1b]|[1c]|[2a]|[2b]|**[2c]**|
|Suspected variable|_Gov_|_ernment Effec_|_tiveness_|_Satisfac_|_tion with the G_|_overnment_|
|<br>Exogeneity test (p-value)|**0.0161**|0.2962|0.7643|0.8199|0.5518|**0.0197**|
|<br>Excluded instruments|_DURATION,_|_POLICE_|_POLICE_|_HEALTH_|_HEALTH_|_POLICE_|
||_MINORITY_|(median)|(median)|(mean)|(mean)|(mean)|
|F-test, first stage|12.85|60.21|30.40|16.52|17.52|36.45|
|F test of excluded instruments|5.20|3.03|3.53|3.49|4.69|9.72|
|Prob > F|0.0257|0.1096|0.0872|0.0884|0.0532|0.0098|
|Underidentification test (p-|value)||||||
|Kleibergen-Paap rk LM<sup></sup>test|0.0709|0.0279|0.0392|0.0649|0.0483|0.0125|
|Instrument validity (p-value)|||||||
|Anderson-Rubin Wald Ftest|0.5413|0.5872|0.9398|0.3656|0.4312|0.6829|
|Stock-Wright LM S stat., P><sup></sup>|0.4669|0.5307|0.9182|0.2569|0.297|0.5469|
|# clusters/obs/regressors|12/34/10|12/34/8|12/34/9|12/34/10|12/34/9|12/34/10|
||Informal|Informal|**Europe (**|**Table 7)**<br>Informal|Informal||
|Dependent variable (%)|employees|self-empl.|Unemployed|employees|self-empl.|Unemployed|
|Model|[1a]|**[1b]**|[1c]|[2a]|**[2b]**|[2c]|
|Suspected variable|_Gov_|_ernment Effec_|_tiveness_|_Gov_|_ernment Effect_|_iveness_|
|Exogeneity test (p-value)|0.7959|<br>**0.0222**|<br>0.5516|0.6888|<br>**0.0267**|0.8181|
|Excluded instruments|_POLICE_|_POLICE_|_POLICE_|_POLICE_|_POLICE_|_FAIRNESS_|
||(median)|(median)|(median)|(mean)|(median)|(mean)|
|F-test, first stage|80.49|80.49|80.49|61.57|135.07|72.96|
|F-test of excluded instruments|11.91|11.91|11.91|2.81|1.83|15.38|
|Prob > F|00019|00019|00019|01065|01884|00006|
|<br>Underidentification test (p-|.<br>value)|.|.|.|.|.|
|<br>Kleibergen-Paap rk LM<sup></sup>test|<br>0.0081|0.0081|0.0081|0.1670|0.1819|0.0118|
|<br>Instrument validity (p-value)|||||||
|<br>Anderson-Rubin Wald Ftest|0.2749|0.6677|0.2411|0.3559|0.2265|0.2870|
|Stock-Wright LM S stat., P><sup></sup>|0.2315|0.6375|0.2002|0.3497|0.1594|0.1747|
|<br># clusters/obs/regressors|27/67/12|27/67/12|27/67/12|25/61/13|25/61/13|25/61/13|

_Notes:_ All statistics are country-cluster robust and het-robust. All models are exactly identified, except for Table 5: [1a], where overidentification test‘s p-value P(Hansen J > <sup></sup> (1)  0.6050  In all models, F-statistics of Kleibergen-Paap (2006) Wald rank test for weak identification equals that from F-test of excluded instruments. # regressors excludes constant and (for Table 5) partialled out variables. _Source:_ Calculation with ESS data.

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