The Bias of the 2SLS Variance Estimator
AbstractIn simultaneous equation models the two stage least squares (2SLS) estimator of the coefficients, though consistent, is biased in general and the nature of this bias has given rise to a good deal of research. However, little if any attention has been given to the bias that arises when an estimate of the asymptotic variance is used to approximate the small sample variance. In this paper we use asymptotic expansions to show that, in general, the asymptotic variance estimator has an upwards bias.
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Bibliographic InfoPaper provided by Exeter University, Department of Economics in its series Discussion Papers with number 9904.
Length: 11 pages
Date of creation: 1999
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ESTIMATOR ; REGRESSION ANALYSIS ; ECONOMETRICS;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Phillips, G.D.A., 1999.
"An Alternative Approach to Obtaining Nagar-Type Moment Approximations in Sumultaneous Equation Models,"
9905, Exeter University, Department of Economics.
- Phillips, Garry D. A., 2000. "An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models," Journal of Econometrics, Elsevier, vol. 97(2), pages 345-364, August.
- Kiviet, Jan F. & Phillips, Garry D.A., 2014.
"Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models,"
Computational Statistics & Data Analysis,
Elsevier, vol. 76(C), pages 424-448.
- Jan F. KIVIET & Garry D.A. PHILLIPS, 2012. "Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models," Economic Growth centre Working Paper Series 1206, Nanyang Technolgical University, School of Humanities and Social Sciences, Economic Growth centre.
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