EconPapers    
Economics at your fingertips  
 

Robust Inference for the Two-Sample 2SLS Estimator

David Pacini and Frank Windmeijer ()

Bristol Economics Discussion Papers from Department of Economics, University of Bristol, UK

Abstract: The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula has only been stated explicitly in the literature for the case of conditional homoskedasticity. By using the fact that the TS2SLS estimator is a function of reduced form and first-stage OLS estimators, we derive the variance of the limiting normal distribution under conditional heteroskedasticity. A robust variance estimator is obtained, which generalises to cases with more general patterns of variable (non-)availability. Stata code and some Monte Carlo results are provided in an Appendix. Stata code for a nonlinear GMM estimator that is identical to the TS2SLS estimator in just identified models and asymptotically equivalent to the TS2SLS estimator in overidentified models is also provided there.

Keywords: Linear Model; Data Combination; Instrumental Variables; Robust Inference; Nonlinear GMM. (search for similar items in EconPapers)
JEL-codes: C12 C13 C26 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ore
Date: 2016-06-20
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.bristol.ac.uk/efm/media/workingpapers/w ... pdffiles/dp16676.pdf (application/pdf)

Related works:
Journal Article: Robust inference for the Two-Sample 2SLS estimator (2016) Downloads
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:bri:uobdis:16/676

Access Statistics for this paper

More papers in Bristol Economics Discussion Papers from Department of Economics, University of Bristol, UK Contact information at EDIRC.
Bibliographic data for series maintained by Jonathan Temple ().

 
Page updated 2019-09-20
Handle: RePEc:bri:uobdis:16/676