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A Proof That Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator Are Monotonically Non-Increasing Functions of Sample Size

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  • Owen, A D

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  • Owen, A D, 1976. "A Proof That Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator Are Monotonically Non-Increasing Functions of Sample Size," Econometrica, Econometric Society, vol. 44(2), pages 409-411, March.
    • Handle: RePEc:ecm:emetrp:v:44:y:1976:i:2:p:409-11
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    Cited by:

    1. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 505-520, June.
    2. Cheung Ip, Wai & Phillips, Garry D. A., 1998. "The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients," Economics Letters, Elsevier, vol. 60(3), pages 303-310, September.
    3. Matthew C. Harding & Jerry Hausman & Christopher Palmer, 2015. "Finite sample bias corrected IV estimation for weak and many instruments," CeMMAP working papers CWP41/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. Phillips, Garry D.A. & Liu-Evans, Gareth, 2016. "Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 734-762.
    5. Matthew C. Harding & Jerry Hausman & Christopher Palmer, 2015. "Finite sample bias corrected IV estimation for weak and many instruments," CeMMAP working papers 41/15, Institute for Fiscal Studies.

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