Two-Sample Instrumental Variables Estimators / Atsushi Inoue, Gary Solon.

Format:

Book

Author/Creator:

Inoue, Atsushi.

Contributor:

National Bureau of Economic Research.

Solon, Gary.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0311.

NBER technical working paper series no. t0311

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2005.

Summary:

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.

Notes:

Print version record

June 2005.