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Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C.; Swanson, Norman R. - 2003 - Rev.

Persistent link: https://www.econbiz.de/10001759427

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2003 - [Elektronische Ressource]

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and … construct a number of bias corrected OLS and IV estimators, which we show to be consistent under a sequential asymptotic scheme …. These bias-corrected estimators are also robust, in the sense that they remain consistent in a conventional asymptotic setup …

Persistent link: https://www.econbiz.de/10001848868

Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction

Chao, John C.; Swanson, Norman R. - In: Journal of econometrics 137 (2007) 2, pp. 515-555

Persistent link: https://www.econbiz.de/10003441954

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

Persistent link: https://www.econbiz.de/10014030882

Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction

Chao, John C.; Swanson, Norman R. - 2003

Persistent link: https://www.econbiz.de/10010271942

Information in the revision process of real-time datasets

Corradi, Valentina; Fernandez, Andres; Swanson, Norman R. - 2011

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the...

Persistent link: https://www.econbiz.de/10010282830