A comparison of bias approximations for the two-stage least squares (2SLS) estimator
A comparison of bias approximations for the two-stage least squares (2SLS) estimator
复制标题
DOI：
10.1016/j.econlet.2011.05.047
复制
发表时间：
2011-10-01
影响因子：
2
通讯作者：
Windmeijer, Frank
中科院分区：
文献类型：
--
作者：
Bun, Maurice J. G.;Windmeijer, Frank
我们考虑只有一个内生回归量的线性工具变量回归中两阶段最小二乘 (2SLS) 估计量的偏差。通过使用渐近展开技术，我们近似了有关工具数量和强度的各种场景下的 2SLS 系数估计偏差。 (C) 2011 Elsevier B.V. 保留所有权利。
We consider the bias of the two-stage least squares (2SLS) estimator in linear instrumental variable regression with only one endogenous regressor. By using asymptotic expansion techniques, we approximate the 2SLS coefficient estimation bias under various scenarios regarding the number and strength of instruments. (C) 2011 Elsevier B.V. All rights reserved.