A Comparison of Bias Approximations for the 2SLS Estimator

Maurice J.G. Bun and Frank Windmeijer
Additional contact information
Maurice J.G. Bun: University of Amsterdam

No 11-088/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: This discussion paper has led to a publication in 'Economics Letters' 113(1), 76-79.

We consider the bias of the 2SLS estimator in the linear instrumental variables regression with one endogenous regressor only. By using asymptotic expansion techniques we approximate 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments.

Keywords: bias; instrumental variables; weak instruments (search for similar items in EconPapers)
JEL-codes: C3 (search for similar items in EconPapers)
Date: 2011-06-11
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://papers.tinbergen.nl/11088.pdf (application/pdf)

Related works:
Working Paper: A comparison of bias approximations for the 2SLS estimator (2010)
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:tin:wpaper:20110088

Access Statistics for this paper

More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().