Abstract: In this paper we propose a two-stage least squares (2SLS) estimator whose first stage is based on the equal-weight average over a complete subset. We derive the approximate mean squared error (MSE) that depends on the size of the complete subset and characterize the proposed estimator...

Under treatment effect heterogeneity, an instrument identifies the instrument-specific local average treatment effect (LATE). If a regression model is estimated by the two-stage least squares (2SLS) using multiple instruments, then 2SLS is consistent for a weighted average of different LATEs. In...