A comparison of bias approximations for the two-stage least squares (2SLS) estimator |
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| Authors: | Maurice JG Bun Frank Windmeijer |
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| Institution: | a Tinbergen Institute and Amsterdam School of Economics, University of Amsterdam, Roetersstraat 11, 1018 WB, Amsterdam, The Netherlandsb Department of Economics, University of Bristol, and CEMMAP/IFS, United Kingdom |
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| Abstract: | 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. |
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| Keywords: | C3 |
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