2SLS variance estimation with strong and/or weak instruments - bias and bias correction

讲座名称: 2SLS variance estimation with strong and/or weak instruments - bias and bias correction
讲座时间: 2020-10-22
讲座人: 徐永登
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校区: 兴庆校区
实践学分:
讲座内容: 讲座题目:2SLS variance estimation with strong and/or weak instruments - bias and bias correction 讲座时间:2020年10月22日15:00-17:00 讲座地点:中国西部科技创新港5-8121会议室 讲座人:徐永登 讲座摘要: It is well known that the 2SLS estimator is consistent, but it is biased in finite sample. The nature of this bias and bias reduction has given rise to a good deal of research. However, there has not been a corresponding interest in the properties of estimators for the associated variances. In this paper we build on Kiviet and Phillips (2000) and explore the biases in variance estimators. This is done for the 2SLS and the MLIML estimators. The approximations to the bias are then used to develop less biased estimators whose properties are examined and compared in a number of simulation experiments. The experiments also consider coverage probabilities/test sizes and test powers of the t-tests where it is shown that test statistics based on the corrected variance estimates generally have a higher power than standard procedures.
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