Monte Carlo studies on the effectiveness of the bootstrap bias reduction method on 2SLS estimates

DOI10.1016/0165-1765(86)90029-7MaRDI QIDQ899756zbMATH OpenOpenAlexFDO

Authors Yu-Sheng Hsu, Kin-Nam Lau, Hung-Gay Fung, Edwin F. Ulveling

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90029-7

Mathematics Subject Classification ID

Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to economics (62P20)

Recommendations

• A comparison of bias approximations for the two-stage least squares (2SLS) estimator
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• Notes on bias in estimators for simultaneous equation models.

Cites work

• scientific article; zbMATH DE number 3782216 (Why is no real title available?)
• scientific article; zbMATH DE number 3599370 (Why is no real title available?)
• Bootstrap methods: another look at the jackknife
• On bootstrapping two-stage least-squares estimates in stationary linear models
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• The Existence of Moments of k-Class Estimators
• The Existence of Moments of the Ordinary Least Squares and Two-Stage Least Squares Estimators

Cited in

(8)

• On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators
• A fast iterated bootstrap procedure for approximating the small-sample bias
• Approximating and reducing bias in 2SLS estimation of dynamic simultaneous equation models
• A comparison of bias approximations for the two-stage least squares (2SLS) estimator
• A class of computational methods to reduce selection bias when designing phase 3 clinical trials
• Bootstrapping estimators for the seemingly unrelated regressions model
• General linear hypotheses in a two-stage least squares estimation model
• The asymptotic validity of the F-test in a two-stage least squares model

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