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Robust inference for the Two-Sample 2SLS estimator()
The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula ha...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
North Holland
2016
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5026329/ https://www.ncbi.nlm.nih.gov/pubmed/27667880 http://dx.doi.org/10.1016/j.econlet.2016.06.033 |
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author | Pacini, David Windmeijer, Frank |
author_facet | Pacini, David Windmeijer, Frank |
author_sort | Pacini, David |
collection | PubMed |
description | The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula has only been stated explicitly in the literature for the case of conditional homoskedasticity. By using the fact that the TS2SLS estimator is a function of reduced form and first-stage OLS estimators, we derive the variance of the limiting normal distribution under conditional heteroskedasticity. A robust variance estimator is obtained, which generalises to cases with more general patterns of variable (non-)availability. Stata code and some Monte Carlo results are provided in an Appendix. Stata code for a nonlinear GMM estimator that is identical to the TS2SLS estimator in just identified models and asymptotically equivalent to the TS2SLS estimator in overidentified models is also provided there. |
format | Online Article Text |
id | pubmed-5026329 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2016 |
publisher | North Holland |
record_format | MEDLINE/PubMed |
spelling | pubmed-50263292016-09-23 Robust inference for the Two-Sample 2SLS estimator() Pacini, David Windmeijer, Frank Econ Lett Article The Two-Sample Two-Stage Least Squares (TS2SLS) data combination estimator is a popular estimator for the parameters in linear models when not all variables are observed jointly in one single data set. Although the limiting normal distribution has been established, the asymptotic variance formula has only been stated explicitly in the literature for the case of conditional homoskedasticity. By using the fact that the TS2SLS estimator is a function of reduced form and first-stage OLS estimators, we derive the variance of the limiting normal distribution under conditional heteroskedasticity. A robust variance estimator is obtained, which generalises to cases with more general patterns of variable (non-)availability. Stata code and some Monte Carlo results are provided in an Appendix. Stata code for a nonlinear GMM estimator that is identical to the TS2SLS estimator in just identified models and asymptotically equivalent to the TS2SLS estimator in overidentified models is also provided there. North Holland 2016-09 /pmc/articles/PMC5026329/ /pubmed/27667880 http://dx.doi.org/10.1016/j.econlet.2016.06.033 Text en © 2016 The Authors http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Pacini, David Windmeijer, Frank Robust inference for the Two-Sample 2SLS estimator() |
title | Robust inference for the Two-Sample 2SLS estimator() |
title_full | Robust inference for the Two-Sample 2SLS estimator() |
title_fullStr | Robust inference for the Two-Sample 2SLS estimator() |
title_full_unstemmed | Robust inference for the Two-Sample 2SLS estimator() |
title_short | Robust inference for the Two-Sample 2SLS estimator() |
title_sort | robust inference for the two-sample 2sls estimator() |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5026329/ https://www.ncbi.nlm.nih.gov/pubmed/27667880 http://dx.doi.org/10.1016/j.econlet.2016.06.033 |
work_keys_str_mv | AT pacinidavid robustinferenceforthetwosample2slsestimator AT windmeijerfrank robustinferenceforthetwosample2slsestimator |