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Title:A comparison of bias approximations for the 2SLS estimator PDF Logo
Authors:Bun, Maurice J. G.
Windmeijer, Frank
Issue Date:2010
Series/Report no.:cemmap working paper CWP07/10
Abstract:We consider the bias of the 2SLS estimator in the linear instrumental vari-ables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.The resulting approximation encompasses existing bias approximations, which are valid in particular cases only. Simulations show that the developed approximation gives an accurate description of the 2SLS bias incase of either weak or many instruments or both.
Subjects:instrumental variables
2SLS bias
weak instruments
JEL:C13
C31
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2010.0710
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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