EconPapers    
Economics at your fingertips  
 

Unbiased Instrumental Variables Estimation under Known First-Stage Sign

Isaiah Andrews and Timothy B. Armstrong ()
Additional contact information
Isaiah Andrews: Harvard Society of Fellows
Timothy B. Armstrong: Cowles Foundation, Yale University, http://economics.yale.edu/people/timothy-b-armstrong

No 1984R2, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first stage coefficients is known. In the case with a single instrument, the unbiased estimator is unique. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is efficient when the instruments are strong. We show numerically that unbiasedness does not come at a cost of increased dispersion in models with a single instrument: in this case the unbiased estimator is less dispersed than the 2SLS estimator. Our finite-sample results apply to normal models with known variance for the reduced-form errors, and imply analogous results under weak instrument asymptotics with an unknown error distribution.

Keywords: Weak instruments; Unbiased estimation; Sign restrictions (search for similar items in EconPapers)
JEL-codes: C26 C36 (search for similar items in EconPapers)
Date: 2015-02, Revised 2015-09
Note: Includes Supplemental appendix
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://cowles.yale.edu/sites/default/files/files/pub/d19/d1984-r2a.pdf (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:cwl:cwldpp:1984r2

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Matthew Regan ().

 
Page updated 2019-04-20
Handle: RePEc:cwl:cwldpp:1984r2