估计员
均方误差
统计
蒙特卡罗方法
计量经济学
工具变量
最小二乘函数近似
数学
估计量的偏差
计算机科学
最小方差无偏估计量
作者
Seojeong Lee,Siha Lee,Julius Owusu,Youngki Shin
出处
期刊:Stata Journal
[SAGE Publishing]
日期:2023-12-01
卷期号:23 (4): 932-941
标识
DOI:10.1177/1536867x231212432
摘要
We developed a command, csa2sls, that implements the complete subset averaging two-stage least-squares (CSA2SLS) estimator in Lee and Shin (2021, Econometrics Journal 24: 290–314). The CSA2SLS estimator is an alternative to the two-stage least-squares estimator that remedies the bias issue caused by many correlated instruments. We conduct Monte Carlo simulations and confirm that the CSA2SLS estimator reduces both the mean squared error and the estimation bias substantially when instruments are correlated. We illustrate the usage of csa2sls in Stata with an empirical application.
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