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A Comparison of Bias Approximations for the 2SLS Estimator

Author

Listed:
  • Maurice J.G. Bun

    (University of Amsterdam)

  • Frank Windmeijer

    (University of Bristol)

Abstract

This discussion paper has led to a publication in 'Economics Letters' 113(1), 76-79. We consider the bias of the 2SLS estimator in the linear instrumental variables 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.

Suggested Citation

  • Maurice J.G. Bun & Frank Windmeijer, 2011. "A Comparison of Bias Approximations for the 2SLS Estimator," Tinbergen Institute Discussion Papers 11-088/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:20110088
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    References listed on IDEAS

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    1. repec:cup:cbooks:9780521871525 is not listed on IDEAS
    2. Chao, John & Swanson, Norman R., 2007. "Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction," Journal of Econometrics, Elsevier, vol. 137(2), pages 515-555, April.
    3. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
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    6. Hahn, Jinyong & Hausman, Jerry, 2002. "Notes on bias in estimators for simultaneous equation models," Economics Letters, Elsevier, vol. 75(2), pages 237-241, April.
    7. John C. Chao & Norman R. Swanson, 2005. "Consistent Estimation with a Large Number of Weak Instruments," Econometrica, Econometric Society, vol. 73(5), pages 1673-1692, September.
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    9. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-681, May.
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    More about this item

    Keywords

    bias; instrumental variables; weak instruments;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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