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

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.

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Year of publication:	2011
Authors:	Bun, Maurice J.G. ; Windmeijer, Frank
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 113.2011, 1, p. 76-79
Publisher:	Elsevier
Subject:	Bias Instrumental variables Weak instruments

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009275181