Finite sample bias corrected IV estimation for weak and many instruments

Arbeitspapier

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 expansions currently popular in the literature, including a consideration of the no-moment problem exhibited by many Nagar-type estimators. After deriving a finite sample unbiased k-class estimator, we introduce a double k-class estimator based on Nagar (1962) that dominates k-class estimators (including 2SLS), especially in the cases of weak and/or many instruments. We demonstrate these properties in Monte Carlo simulations showing that our preferred estimators outperforms Fuller (1977) estimators in terms of mean bias and MSE.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: cemmap working paper ; No. CWP41/15

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models ; Estimation: General ; Statistical Simulation Methods: General
• Thema: instrumental variables ; weak and many instruments ; finite sample ; k-class estimators

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Harding, Matthew ; Hausman, Jerry ; Palmer, Christopher
• Ereignis: Veröffentlichung
• (wer): Centre for Microdata Methods and Practice (cemmap)
• (wo): London
• (wann): 2015

Weitere Informationen

• DOI: doi:10.1920/wp.cem.2015.4115
• Handle: http://hdl.handle.net/10419/130052
• Letzte Aktualisierung: 20.09.2024, 08:23 MESZ