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Two-Sample Instrumental Variables Estimators

Atsushi Inoue () and Gary Solon

No 311, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator. In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct. Our comparison of the properties of the two estimators demonstrates that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator and also is more robust to a practically relevant type of sample stratification.

JEL-codes: C3 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2005-06
Note: TWP
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Journal Article: Two-Sample Instrumental Variables Estimators (2010) Downloads
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