Notes on bias in estimators for simultaneous equation models

被引：48

作者：

Hahn, JY

Hausman, J ^{[1
]}

机构：

[1] Brown Univ, Providence, RI 02912 USA

[2] MIT, Dept Econ, Cambridge, MA 02139 USA

来源：

ECONOMICS LETTERS | 2002年 / 75卷 / 02期

关键词：

IV estimation; weak instruments; finite sample bias;

D O I：

10.1016/S0165-1765(01)00602-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We derive an approximate finite sample bias expression for 2SLS. We apply it to the case of non-identification and local non-identification. We also calculate the similar expression for OLS. We find that 2SLS has less bias than OLS in all cases. (C) 2002 Elsevier Science BY. All rights reserved.

引用

页码：237 / 241

页数：5

共 7 条

[1]

CHAO J, 2000, UNPUB BIAS MSE IV ES

[2]

HAHN J, 1999, IN PRESS ECONOMETRIC

[3]

HAHN J, 2001, UNPUB HIGHER ORDER M

[4] THE BIAS AND MOMENT MATRIX OF THE GENERAL KAPPA-CLASS ESTIMATORS OF THE PARAMETERS IN SIMULTANEOUS-EQUATIONS [J].