A comparison of bias approximations for the two-stage least squares (2SLS) estimator

DOI10.1016/j.econlet.2011.05.047zbMath1284.62415OpenAlexW1985885830WikidataQ63353167 ScholiaQ63353167MaRDI QIDQ1942881

Maurice J. G. Bun, Frank A. G. Windmeijer

Publication date: 14 March 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.05.047

zbMATH Keywords

biasinstrumental variablesweak instruments

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (4)

Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models ⋮ Missing data, imputation, and endogeneity ⋮ Covariate measurement and endogeneity ⋮ A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation

Cites Work

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• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• Discontinuities of weak instrument limiting distributions.
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Bias of Instrumental Variable Estimators
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Instrumental Variables Regression with Weak Instruments
• Consistent Estimation with a Large Number of Weak Instruments
• Notes on bias in estimators for simultaneous equation models.

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