Before revision: In this paper we propose a two-stage least squares (2SLS) estimator whose first stage is based on the equal-weight average over a complete subset . We derive the approximate mean squared error (MSE) that depends on the size of the complete subset and characterize the proposed estimator based on the approximate MSE.
After revision: In this paper we propose a two-stage least squares (2SLS) estimator whose first stage is based on the equal-weight average over a complete subset with k instruments among K available, which we call the approximate mean squared error (MSE) that depends on the size of the complete subset and characterize the proposed estimator based on the approximate MSE.