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Missing Variables and Two-Stage Least-Squares Estimation from More than One Data Set

Author

Listed:
  • Klevmarken, Anders

    (University of Gothenburg)

Abstract

In a situation when no single sample inc1udes all the endogenous variables of a simultaneous equation model but there are two (or more) non-overlapping samples and each variable is included in at least one, then it is possible to pool the data and estimate the model consistently by a two-stage least-squares procedure. The asymptotic variances of the estimates are not always larger than those which would have been obtained with TSLS from one complete sample. It is also shown that under certain assumptions the same approach can be applied to an ordinary regression model.

Suggested Citation

  • Klevmarken, Anders, 1982. "Missing Variables and Two-Stage Least-Squares Estimation from More than One Data Set," Working Paper Series 62, Research Institute of Industrial Economics.
    • Handle: RePEc:hhs:iuiwop:0062
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    Cited by:

    1. Bertrand Garbinti & Frédérique Savignac, 2020. "Accounting for Intergenerational Wealth Mobility in France over the 20th Century: Method and Estimations," Working papers 776, Banque de France.
    2. Pablo Lavado & Gonzalo Rivera, 2016. "Identifying Treatment Effects with Data Combination and Unobserved Heterogeneity," Working Papers 79, Peruvian Economic Association.
    3. Choudhury, Sanchari, 2023. "Non-random selection into entrepreneurship in the realm of government decentralization and corruption," European Journal of Political Economy, Elsevier, vol. 78(C).
    4. Pacini, David & Windmeijer, Frank, 2016. "Robust inference for the Two-Sample 2SLS estimator," Economics Letters, Elsevier, vol. 146(C), pages 50-54.
    5. Buchinsky, Moshe & Li, Fanghua & Liao, Zhipeng, 2022. "Estimation and inference of semiparametric models using data from several sources," Journal of Econometrics, Elsevier, vol. 226(1), pages 80-103.
    6. Serena Merrino, 2020. "Measuring labour earnings inequality in post-apartheid South Africa," WIDER Working Paper Series wp-2020-32, World Institute for Development Economic Research (UNU-WIDER).
    7. Atsushi Inoue & Tong Li & Qi Xu, 2021. "Two Sample Unconditional Quantile Effect," Papers 2105.09445, arXiv.org.
    8. Thomas F. Crossley & Peter Levell & Stavros Poupakis, 2022. "Regression with an imputed dependent variable," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1277-1294, November.
    9. Felix Chan & Laszlo Matyas & Agoston Reguly, 2024. "Modelling with Discretized Variables," Papers 2403.15220, arXiv.org.
    10. Javier Cortes Orihuela & Juan D. Díaz & Pablo Gutiérrez Cubillos & Pablo A. Troncoso, 2024. "Everything’s not lost: revisiting TSTSLS estimates of intergenerational mobility in developing countries," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 31(1), pages 66-94, February.

    More about this item

    Keywords

    TLSL; Statistical modeling;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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