Unbiased Instrumental Variables Estimation Under Known First-Stage Sign: Isaiah Andrews
22 de abril de 2016
De 13.30 a 16.15 h
De 13.30 a 16.15 h
Sala de Seminarios, Santa Teresa
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, the unbiased estimator is unique. For cases with multiple instruments we propose a class of unbiased estimators and show that an estimator within this class is effi- cient 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 2SLS 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.
Organiza: CIE