Hahn, Jinyong; Hausman, Jerry; Kuersteiner, Guido - In: Econometrics Journal 7 (2004) 1, pp. 272-306
In this paper, we consider parameter estimation in a linear simultaneous equations model. It is well known that two-stage least squares (2SLS) estimators may perform poorly when the instruments are weak. In this case 2SLS tends to suffer from the substantial small sample biases. It is also known...