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A Comparison of Bias Approximations for The 2SLS Estimator

Tinbergen Institute Discussion Paper 11-088/4

18 Pages Posted: 16 Jun 2011

See all articles by Maurice J. G. Bun

Maurice J. G. Bun

University of Amsterdam (UVA) - Department of Quantitative Economics; Tinbergen Institute

Frank Windmeijer

University of Bristol - Department of Economics; University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO); Institute for Fiscal Studies (IFS) - Centre for Microdata Methods and Practice

Date Written: June 10, 2011

Abstract

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

JEL Classification: C3

Suggested Citation: Suggested Citation

Bun, Maurice J. G. and Windmeijer, Frank, A Comparison of Bias Approximations for The 2SLS Estimator (June 10, 2011). Tinbergen Institute Discussion Paper 11-088/4, Available at SSRN: https://ssrn.com/abstract=1865753 or http://dx.doi.org/10.2139/ssrn.1865753

Maurice J. G. Bun (Contact Author)

University of Amsterdam (UVA) - Department of Quantitative Economics ( email )

Roetersstraat 11
1018 WB Amsterdam
Netherlands
+31-20-5254257 (Phone)

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

Frank Windmeijer

University of Bristol - Department of Economics ( email )

8 Woodland Road
Bristol BS8 ITN
United Kingdom

University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO) ( email )

12 Priory Road
Bristol BS8 1TN
United Kingdom

Institute for Fiscal Studies (IFS) - Centre for Microdata Methods and Practice

7 Ridgmount Street
London WC1E 7AE, WC1E 7 AE
United Kingdom

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