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A Comparison of Bias Approximations for the 2SLS Estimator

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  • 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.

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File URL: http://papers.tinbergen.nl/11088.pdf
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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 11-088/4.

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Date of creation: 11 Jun 2011
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Handle: RePEc:dgr:uvatin:20110088

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Web page: http://www.tinbergen.nl

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Keywords: bias; instrumental variables; weak instruments;

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References

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  1. John Chao & Norman R. Swanson, 2003. "Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Papers 1418, Cowles Foundation for Research in Economics, Yale University.
  2. 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, 09.
  3. Hahn, Jinyong & Kuersteiner, Guido, 2002. "Discontinuities of weak instrument limiting distributions," Economics Letters, Elsevier, vol. 75(3), pages 325-331, May.
  4. Bekker, Paul A, 1994. "Alternative Approximations to the Distributions of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 62(3), pages 657-81, May.
  5. Buse, A, 1992. "The Bias of Instrumental Variable Estimators," Econometrica, Econometric Society, vol. 60(1), pages 173-80, January.
  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. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
  8. Luiz M. Cruz & Marcelo J. Moreira, 2005. "On the Validity of Econometric Techniques with Weak Instruments: Inference on Returns to Education Using Compulsory School Attendance Laws," Journal of Human Resources, University of Wisconsin Press, vol. 40(2).
  9. 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 518-29, October.
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