EconStor >
Institute for Fiscal Studies (IFS), London >
cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS) >

Please use this identifier to cite or link to this item:

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBun, Maurice J. G.en_US
dc.contributor.authorWindmeijer, Franken_US
dc.description.abstractWe 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.en_US
dc.publisherCentre for Microdata Methods and Practice (cemmap) Londonen_US
dc.relation.ispartofseriescemmap working paper CWP07/10en_US
dc.subject.keywordinstrumental variablesen_US
dc.subject.keyword2SLS biasen_US
dc.subject.keywordweak instrumentsen_US
dc.titleA comparison of bias approximations for the 2SLS estimatoren_US
dc.typeWorking Paperen_US
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

Files in This Item:
File Description SizeFormat
632182954.pdf268.23 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.