A Comparison of Bias Approximations for the 2SLS Estimator

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.

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Year of publication:	2011
Authors:	Bun, Maurice J.G. ; Windmeijer, Frank
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	bias \| instrumental variables \| weak instruments

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Series:	Tinbergen Institute Discussion Paper ; 11-088/4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	769904459 [GVK] hdl:10419/87279 [Handle] RePEc:dgr:uvatin:20110088 [RePEc]
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	EconStor

Persistent link: https://www.econbiz.de/10010326261