Two-sample instrumental variables estimators
By: Atsushi Inoue, Gary Solon.
Contributors: Solon, Gary, 1954-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper . 311; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. . 311.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Estimation theory.; Variables (Mathematics); Least squares.; Social sciences -- Statistics.
Description: "Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator.  In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct.  Our comparison of the properties of the two estimators demonstrates that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator and also is more robust to a practically relevant type of sample stratification"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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