csa2sls: A complete subset approach for many instruments using Stata

Seojeong Lee, Siha Lee, Julius Owusu () and Youngki Shin
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Julius Owusu: McMaster University

Stata Journal, 2023, vol. 23, issue 4, 932-941

Abstract: We developed a command, csa2sls, that implements the complete sub- set averaging two-stage least-squares (CSA2SLS) estimator in Lee and Shin (2021, Econometrics Journal 24: 290–314). The CSA2SLS estimator is an alternative to the two-stage least-squares estimator that remedies the bias issue caused by many correlated instruments. We conduct Monte Carlo simulations and confirm that the CSA2SLS estimator reduces both the mean squared error and the estimation bias substantially when instruments are correlated. We illustrate the usage of csa2sls in Stata with an empirical application.

Keywords: csa2sls; many instruments; complete subset averaging; two-stage least squares (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1177/1536867X231212432

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