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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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  • Cheung Ip, Wai
  • Phillips, Garry D. A.

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  • Cheung Ip, Wai & Phillips, Garry D. A., 1998. "The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients," Economics Letters, Elsevier, vol. 60(3), pages 303-310, September.
    • Handle: RePEc:eee:ecolet:v:60:y:1998:i:3:p:303-310
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    References listed on IDEAS

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    1. 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.
    2. Phillips, P C B, 1980. "The Exact Distribution of Instrumental Variable Estimators in an Equation Containing n + 1 Endogenous Variables," Econometrica, Econometric Society, vol. 48(4), pages 861-878, May.
    3. Karim Abadir & Kaddour Hadri, "undated". "Bias Nonmonotonicity in Stochastic Difference Equations," Discussion Papers 96/15, Department of Economics, University of York.
    4. 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.
    5. Owen, A D, 1976. "A Proof That Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator Are Monotonically Non-Increasing Functions of Sample Size," Econometrica, Econometric Society, vol. 44(2), pages 409-411, March.
    6. Abadir, Karim M., 1993. "Ols Bias in a Nonstationary Autoregression," Econometric Theory, Cambridge University Press, vol. 9(1), pages 81-93, January.
    7. Phillips, P. C. B., 1984. "The exact distribution of exogenous variable coefficient estimators," Journal of Econometrics, Elsevier, vol. 26(3), pages 387-398, December.
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    Cited by:

    1. Emma M. Iglesias & Garry D. A. Phillips, 2012. "Almost Unbiased Estimation in Simultaneous Equation Models With Strong and/or Weak Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 505-520, June.
    2. 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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