Two-Sample Instrumental Variables Estimators
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. Our comparison of the properties of the two estimators demonstrates that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator and also is more robust to a practically relevant type of sample stratification.
|Date of creation:||Jun 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.nber.org
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- George J. Borjas, 2001.
"Food Insecurity and Public Assistance,"
JCPR Working Papers
243, Northwestern University/University of Chicago Joint Center for Poverty Research.
- Joshua Angrist & Alan Krueger, 1993.
"Split Sample Instrumental Variables,"
699, Princeton University, Department of Economics, Industrial Relations Section..
- Joshua D. Angrist & Guido W. Imbens & Alan Krueger, 1995.
"Jackknife Instrumental Variables Estimation,"
NBER Technical Working Papers
0172, National Bureau of Economic Research, Inc.
- Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
- Currie, Janet & Yelowitz, Aaron, 2000.
"Are public housing projects good for kids?,"
Journal of Public Economics,
Elsevier, vol. 75(1), pages 99-124, January.
- Janet Currie & Aaron Yelowitz, 1997. "Are Public Housing Projects Good for Kids?," NBER Working Papers 6305, National Bureau of Economic Research, Inc.
- J. Currie & A. Yelowitz, . "Are Public Housing Projects Good For Kids?," Institute for Research on Poverty Discussion Papers 1152-97, University of Wisconsin Institute for Research on Poverty.
- Bjorklund, Anders & Jantti, Markus, 1997. "Intergenerational Income Mobility in Sweden Compared to the United States," American Economic Review, American Economic Association, vol. 87(5), pages 1009-18, December.
- Murphy, Kevin M & Topel, Robert H, 2002.
"Estimation and Inference in Two-Step Econometric Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 88-97, January.
- Murphy, Kevin M & Topel, Robert H, 1985. "Estimation and Inference in Two-Step Econometric Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 370-79, October.
- Joshua Angrist & Alan Krueger, 1990.
"The Effect of Age at School Entry on Educational Attainment: An Application of Instrumental Variables with Moments from Two Samples,"
654, Princeton University, Department of Economics, Industrial Relations Section..
- Joshua D. Angrist & Alan B. Krueger, 1990. "The Effect of Age at School Entry on Educational Attainment: An Application of Instrumental Variables with Moments from Two Samples," NBER Working Papers 3571, National Bureau of Economic Research, Inc.
- Thomas S. Dee & William N. Evans, 2003. "Teen Drinking and Educational Attainment: Evidence from Two-Sample Instrumental Variables Estimates," Journal of Labor Economics, University of Chicago Press, vol. 21(1), pages 178-209, January.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
When requesting a correction, please mention this item's handle: RePEc:nbr:nberte:0311. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.