The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients
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References listed on IDEAS
- Richardson, David H & Wu, De-Min, 1971. "A Note on the Comparison of Ordinary and Two-Stage Least Squares Estimators," Econometrica, Econometric Society, vol. 39(6), pages 973-981, November.
- Phillips, P. C. B., 1984.
"The exact distribution of exogenous variable coefficient estimators,"
Journal of Econometrics,
Elsevier, vol. 26(3), pages 387-398, December.
- Peter C.B. Phillips, 1983. "The Exact Distribution of Exogenous Variable Coefficient Estimators," Cowles Foundation Discussion Papers 681, Cowles Foundation for Research in Economics, Yale University.
- Karim Abadir & Kaddour Hadri, "undated".
"Bias Nonmonotonicity in Stochastic Difference Equations,"
96/15, Department of Economics, University of York.
- Abadir, Karim & Hadri, K., 1995. "Bias Nonmonotonicity in Stochastic Difference Equations," Discussion Papers 9512, Exeter University, Department of Economics.
- Phillips, G. D. A. & Harvey, A. C., 1984. "A note on estimating and testing exogenous variable coefficient estimators in simultaneous equation models," Economics Letters, Elsevier, vol. 15(3-4), pages 301-307.
- Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(01), pages 81-93, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Iglesias, Emma M. & Phillips, Garry D.A., 2011. "Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments," Cardiff Economics Working Papers E2011/19, Cardiff University, Cardiff Business School, Economics Section.
- 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.
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