Before revision: We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weight average over a complete subset with k instruments among K available, which we call the complete subset averaging (CSA) 2SLS . The approximate mean squared error (MSE) is derived as a function of the subset size k by the Nagar (1959) expansion.
After revision: We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weight average over a complete subset with k instruments among K available, which we call the complete subset averaging (CSA) 2SLS . The approximate mean squared error (MSE) is derived as a function of the subset size k by the Nagar (1959) expansion.