首页    期刊浏览 2025年08月24日 星期日
登录注册

文章基本信息

  • 标题:Unbiased instrumental variables estimation under known first‐stage sign
  • 本地全文:下载
  • 作者:Andrews, Isaiah ; Armstrong, Timothy B.
  • 期刊名称:Quantitative Economics
  • 电子版ISSN:1759-7331
  • 出版年度:2017
  • 卷号:8
  • 期号:2
  • 页码:479-503
  • DOI:10.3982/QE700
  • 语种:English
  • 出版社:John Wiley & Sons, Ltd.
  • 摘要:Abstract

    We derive mean-unbiased estimators for the structural parameter in instrumental variables models with a single endogenous regressor where the sign of one or more first-stage coefficients is known. In the case with a single instrument, there is a unique nonrandomized unbiased estimator based on the reduced-form and first-stage regression estimates. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is efficient when the instruments are strong. We show numerically that unbiasedness does not come at a cost of increased dispersion in models with a single instrument: in this case the unbiased estimator is less dispersed than the two-stage least squares estimator. Our finite-sample results apply to normal models with known variance for the reduced-form errors, and imply analogous results under weak-instrument asymptotics with an unknown error distribution.

  • 关键词:Unbiased estimation ; weak instruments ; C13 ; C26
国家哲学社会科学文献中心版权所有