Arbeitspapier

A comparison of bias approximations for the 2SLS estimator

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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.

Language: Englisch

Bibliographic citation: Series: cemmap working paper ; No. CWP07/10

Classification: Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models

Subject: instrumental variables
2SLS bias
weak instruments
Bias
Instrumentalvariablen-Schätzmethode

Event: Geistige Schöpfung

(who): Bun, Maurice J. G.
Windmeijer, Frank

Event: Veröffentlichung

(who): Centre for Microdata Methods and Practice (cemmap)

(where): London

(when): 2010

DOI: doi:10.1920/wp.cem.2010.0710

Handle: http://hdl.handle.net/10419/64787

Last update: 10.03.2025, 11:45 AM CET

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Object type

Arbeitspapier

Associated

Bun, Maurice J. G.
Windmeijer, Frank
Centre for Microdata Methods and Practice (cemmap)

Time of origin

2010

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