Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2011-06-11
Number: 11-088/4
Author-Name: Maurice J.G. Bun
Author-Workplace-Name: University of Amsterdam
Author-Name: Frank Windmeijer
Author-Workplace-Name: University of Bristol
Title: A Comparison of Bias Approximations for the 2SLS Estimator
Abstract: This discussion paper has led to a publication in <a href="https://www.sciencedirect.com/science/article/pii/S0165176511002242">'Economics Letters'</A> 113(1), 76-79.<p>

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.
Classification-JEL: C3
Keywords: bias, instrumental variables, weak instruments
File-Url: https://papers.tinbergen.nl/11088.pdf
File-Format: application/pdf
File-Size: 209019 bytes
Handle: RePEc:tin:wpaper:20110088