A comparison of bias approximations for the 2SLS estimator

Authors
Publication date 2010
Series UvA-Econometrics discussion paper, 2010/03
Number of pages 16
Publisher Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Abstract We consider the bias of the 2SLS estimator in the linear instrumental variables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.
Document type Working paper
Language English
Published at http://aimsrv1.fee.uva.nl/koen/web.nsf/view/3E0462F3AEE707ABC125771C00456A53/$file/1003.pdf
Permalink to this page
Back