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A comparison of bias approximations for the two-stage least squares (2SLS) estimator

Maurice Bun () and Frank Windmeijer ()

Economics Letters, 2011, vol. 113, issue 1, 76-79

Abstract: We consider the bias of the two-stage least squares (2SLS) estimator in linear instrumental variable regression with only one endogenous regressor. By using asymptotic expansion techniques, we approximate the 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.

Keywords: Bias; Instrumental; variables; Weak; instruments (search for similar items in EconPapers)
Date: 2011
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Handle: RePEc:eee:ecolet:v:113:y:2011:i:1:p:76-79