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Monte-Carlo-Evaluation von Instrumentenvariablenschätzern

Author

Listed:
  • Auer, Benjamin R.
  • Rottmann, Horst

Abstract

Dieser Beitrag illustriert mittels Monte-Carlo-Simulation die Eigenschaften des OLS- und des IV-Schätzers, wenn die erklärende Variable im einfachen linearen Regressionsmodell endogen, d. h. mit dem Störterm des Modells korreliert ist. Insbesondere werden dabei die Verzerrung des OLS-Schätzers und die Konsistenz des IV-Schätzers aufgezeigt sowie der Einfluss schwacher Instrumente verdeutlicht.

Suggested Citation

  • Auer, Benjamin R. & Rottmann, Horst, 2020. "Monte-Carlo-Evaluation von Instrumentenvariablenschätzern," Weidener Diskussionspapiere 79, University of Applied Sciences Amberg-Weiden (OTH).
    • Handle: RePEc:zbw:hawdps:79
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    Keywords

    Monte-Carlo-Simulation; OLS-Schätzung; IV-Schätzung; Endogenität; schwacheInstrumente;
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