Unbiased instrumental variables estimation under known first-stage sign

DOI10.3982/QE700MaRDI QIDQ4586252zbMATH OpenOpenAlexFDO

Authors Isaiah Andrews, Timothy B. Armstrong

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/1501.06630

zbMATH Keywords

multiple instrumentsunbiased estimationweak instruments

Mathematics Subject Classification ID

Density estimation (62G07) Paired and multiple comparisons; multiple testing (62J15)

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 non-randomized 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 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.

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• Treatment effects in interactive fixed effects models with a small number of time periods
• Location properties of point estimators in linear instrumental variables and related models
• One instrument to rule them all: the bias and coverage of just-ID IV
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• Efficient and Robust Estimation of the Generalized LATE Model
• Nonlinear GMM estimation in dynamic panels with serially correlated unobservables
• Robust IV inference with clustering dependence
• A robust test for weak instruments for 2SLS with multiple endogenous regressors

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