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Two-Sample Instrumental Variables Estimators

Author

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  • Atsushi Inoue

    (North Carolina State University)

  • Gary Solon

    (Michigan State University)

Abstract

Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator. In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct. We derive and compare the asymptotic distributions of the two estimators and find that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator. We also resolve some confusion in the literature about how to estimate standard errors for the TS2SLS estimator. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.

Suggested Citation

  • Atsushi Inoue & Gary Solon, 2010. "Two-Sample Instrumental Variables Estimators," The Review of Economics and Statistics, MIT Press, vol. 92(3), pages 557-561, August.
    • Handle: RePEc:tpr:restat:v:92:y:2010:i:3:p:557-561
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    JEL classification:

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

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