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A comparison of bias approximations for the 2SLS estimator
Bun, Maurice J. G.; Windmeijer, Frank - 2010
We consider the bias of the 2SLS estimator in the linear instrumental vari-ables 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.The resulting approximation encompasses existing bias approximations, which are …
Persistent link: https://www.econbiz.de/10003989911
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Comparing IV with structural models : what simple IV can and cannot identify
Heckman, James J.; Urzua, Sergio - 2010
This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...
Persistent link: https://www.econbiz.de/10003989921
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Finite sample bias corrected IV estimation for weak and many instruments
Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015
This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the … presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic … in terms of mean bias and MSE. …
Persistent link: https://www.econbiz.de/10011300710
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Combining two consistent estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012
This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...
Persistent link: https://www.econbiz.de/10009766699
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Estimating the local average treatment effect of R&D subsidies in a pan-European program
Hünermund, Paul; Czarnitzki, Dirk - 2016
We investigate the effect of Europe's largest multilateral subsidy program for R&D-performing, small and medium-sized enterprises on firm growth. The program was organized under a specific budget allocation rule, referred to as Virtual Common Pot (VCP), which is designed to avoid...
Persistent link: https://www.econbiz.de/10011459337
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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation...
Persistent link: https://www.econbiz.de/10011636052
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Control variables, discrete instruments, and identification of structural functions
Newey, Whitney K.; Stouli, Sami - 2018
Control variables provide an important means of controlling for endogeneity in econometric models with nonseparable and/or multidimensional heterogeneity. We allow for discrete instruments, giving identi cation results under a variety of restrictions on the way the endogenous variable and the...
Persistent link: https://www.econbiz.de/10011901534
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Comparing IV with structural models : what simple IV can and cannot identify
Heckman, James J.; Urzúay, Sergio - 2009
This paper compares the economic questions addressed by instrumental variables estimators with those addressed by structural approaches. We discuss Marschak's Maxim: estimators should be selected on the basis of their ability to answer well-posed economic problems with minimal assumptions. A key...
Persistent link: https://www.econbiz.de/10003870685
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Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments
Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2010
This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...
Persistent link: https://www.econbiz.de/10008668814
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How much should we trust linear instrumental variables estimators? : an application to family size and children's education
Mogstad, Magne; Wiswall, Matthew - 2009
variable (IV) estimation. We show that tests for treatment effects, selection bias, and treatment effect heterogeneity are … variables ; variable treatment intensity ; treatment effect heterogeneity ; selection bias ; quantity-quality ; family size …
Persistent link: https://www.econbiz.de/10003917067