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

Authors
Publication date 2011
Journal Economics Letters
Volume | Issue number 113 | 1
Pages (from-to) 76-79
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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.

Highlights
► The 2SLS coefficient estimation bias is approximated. ► We consider various scenarios regarding the number and strength of instruments. ► The resulting approximation encompasses existing bias expressions. ► Simulations show that the developed approximation is accurate.
Document type Article
Language English
Published at https://doi.org/10.1016/j.econlet.2011.05.047
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