Arbeitspapier
A comparison of bias approximations for the 2SLS estimator
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 valid in particular cases only. Simulations show that the developed approximation gives an accurate description of the 2SLS bias incase of either weak or many instruments or both.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP07/10
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- Thema
-
instrumental variables
2SLS bias
weak instruments
Bias
Instrumentalvariablen-Schätzmethode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bun, Maurice J. G.
Windmeijer, Frank
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2010
- DOI
-
doi:10.1920/wp.cem.2010.0710
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bun, Maurice J. G.
- Windmeijer, Frank
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2010
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