The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients

DOI10.1016/S0165-1765(98)00130-XzbMath0910.90063MaRDI QIDQ1274712

Garry D. A. Phillips, Wai-Cheung Ip

Publication date: 12 January 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

monotonicitymean squared errorbiastwo stage least squaresexogenous variable coefficient estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items (2)

Small Sample Estimation Bias in GARCH Models with Any Number of Exogenous Variables in the Mean Equation ⋮ Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models

Cites Work

• A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models
• The exact distribution of exogenous variable coefficient estimators
• The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables
• A Note on the Comparison of Ordinary and Two-Stage Least Squares Estimators
• A Proof that Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator are Monotonically Non-Increasing Functions of Sample Size

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