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Estimation with Weak Instruments: Accuracy of Higher Order Bias and MSE Approximations
weak instruments higher order expansions
2015/9/22
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 w...
We consider the following problem. There is a structural equation of interest that contains an explanatory variable that theory predicts is endogenous. There are one or more instrumental variables tha...
Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
Bias reduction Weak instruments Panel data
2011/4/2
We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obt...
On the Validity of Econometric Techniques with Weak Instruments: Inference on Returns to Education Using Compulsory School Attendance Laws
Validity Econometric Techniques Weak Instruments Education Compulsory School Attendance Laws
2016/3/4
We evaluate Angrist and Krueger (1991) and Bound, Jaeger, and Baker (1995) by constructing reliable confidence regions around the 2SLS and LIML estimators for returns-to-schooling regardless of the qu...