A Comparison of Bias Approximations for the 2SLS Estimator

This discussion paper has led to a publication in <a href="http://www.sciencedirect.com/science/article/pii/S0165176511002242">'Economics Letters'</A> 113(1), 76-79.<p> 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:	2011-06-11
Authors:	Bun, Maurice J.G. ; Windmeijer, Frank
Institutions:	Tinbergen Instituut
Subject:	bias \| instrumental variables \| weak instruments

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 11-088/4
Classification:	C3 - Econometric Methods: Multiple/Simultaneous Equation Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011256466