The Bias of the 2SLS Variance Estimator

Jan Kiviet and Garry Phillips

Discussion Papers from University of Exeter, Department of Economics

Abstract: In simultaneous equation models the two stage least squares (2SLS) estimator of the coefficients, though consistent, is biased in general and the nature of this bias has given rise to a good deal of research. However, little if any attention has been given to the bias that arises when an estimate of the asymptotic variance is used to approximate the small sample variance. In this paper we use asymptotic expansions to show that, in general, the asymptotic variance estimator has an upwards bias.

Keywords: ESTIMATOR; REGRESSION ANALYSIS; ECONOMETRICS (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:exe:wpaper:9904

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