A Proof that Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator are Monotonically Non-Increasing Functions of Sample Size

DOI10.2307/1912737MaRDI QIDQ4107366zbMATH OpenOpenAlexFDO

Authors A. D. Owen

Publication date 1976

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912737

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited in

(2)

• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• The non-monotonicity of the bias and mean squared error of the two stage least squares estimators of exogenous variable coefficients

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