Bias assessment and reduction for the 2SLS estimator in general dynamic simultaneous equations models

Garry David Alan Phillips and Dandan Wang

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We consider the bias of the 2SLS estimator in general dynamic simultaneousequation models with g endogenous regressors. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under innovation errors, p lagged-dependent variables and strongly-exogenous explanatory variables. Large-T approximations bias of the structural form is then used to construct corrected estimators for the parameters of interest in the general DSEM (C2SLS). Simulations show that the C2SLS gives almost unbiased estimators and low mean squared errors. Alternatively, the numerical bootstrap method results suggest that the non-parametric bootstrap could be used in 2SLS for improving estimation in general DSEM.

Keywords: General; Dynamic; Simultaneous; Equations; Model; Asymptotic; Approximations; Bias; Correction; Bootstrap; Monte; Carlo; Simulations; 2sls; C2sls (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
Date: 2019-04-29
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 95084116ae66/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:28322

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().