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Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the … presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … in terms of mean bias and MSE. …

Persistent link: https://www.econbiz.de/10011300710

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and … construct a number of bias corrected OLS and IV estimators, which we show to be consistent under a sequential asymptotic scheme …. These bias-corrected estimators are also robust, in the sense that they remain consistent in a conventional asymptotic setup …

Persistent link: https://www.econbiz.de/10014030882

A comparison of bias approximations for the 2SLS estimator

Bun, Maurice J. G.; Windmeijer, Frank - 2010

We consider the bias of the 2SLS estimator in the linear instrumental vari-ables 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.The resulting approximation encompasses existing bias approximations, which are …

Persistent link: https://www.econbiz.de/10003989911

Comparing IV with structural models : what simple IV can and cannot identify

Heckman, James J.; Urzua, Sergio - 2010

This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...

Persistent link: https://www.econbiz.de/10003989921

An expository note on the existence of moments of Fuller and HFUL estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013

In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this...

Persistent link: https://www.econbiz.de/10009766695

Combining two consistent estimators

Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012

This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...

Persistent link: https://www.econbiz.de/10009766699

Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence

Dunker, Fabian - 2015

In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead to nonlinear integral equations with unknown integral kernels. We prove convergence rates of the risk for the iteratively regularized Newton method applied to these problems....

Persistent link: https://www.econbiz.de/10011392754

Replication to assess statistical adequacy

Owen, Dorian - 2018

"Statistical adequacy" is an important prerequisite for securing reliable inference in empirical modelling. This paper argues for more emphasis on replication that specifically assesses whether the results reported in empirical studies are based on statistically adequate models, i.e., models...

Persistent link: https://www.econbiz.de/10011917266

Testing the quantity-quality model of fertility : Estimation using unrestricted family size models

Mogstad, Magne; Wiswall, Matthew - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 157-192

We examine the relationship between child quantity and quality. Motivated by the theoretical ambiguity regarding the sign of the marginal effects of additional siblings on children’s outcomes, our empirical model allows for an unrestricted relationship between family size and child outcomes....

Persistent link: https://www.econbiz.de/10011798965

Causal inference with endogenous price response

Jeziorski, Przemyslaw; Leng, Dingzhe; Seiler, Stephan - 2025 - This draft: May 10, 2025

the direct treatment effect. The bias in both cases depends on the correlation of price with treatment and points in the … same direction. In most cases including an endogenous price control reduces bias but does not remove it. We show how to … test whether bias from an endogenous price response arises and how to recover an unbiased treatment effect (holding price …

Persistent link: https://www.econbiz.de/10015404498