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

Maurice J.G Bun,Frank Windmeijer

doi:10.1016/j.econlet.2011.05.047

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

Maurice J.G Bun, Frank Windmeijer

https://doi.org/10.1016/j.econlet.2011.05.047

Copy DOI

Journal: Economics letters	Publication Date: Jun 7, 2011
Citations: 13

Affiliation: University of Amsterdam, Cemmap

#Asymptotic Expansion Techniques #2SLS Estimator + Show 8 more

Abstract
Full-Text PDF
Similar Papers

Abstract

We consider the bias of the two-stage least squares (2SLS) estimator in linear instrumental variable regression with only one endogenous regressor. By using asymptotic expansion techniques, we approximate the 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.

Full Text