Go to main content
Did you know? By making a gift to AgEcon Search, you are helping ensure that our small non-profit continues to provide free full-text access to 15,000 visitors a day from 170+ countries
Format
BibTeX
MARCXML
TextMARC
MARC
DublinCore
EndNote
NLM
RefWorks
RIS

Files

Abstract

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.

Details

PDF

Statistics

from
to
Export
Download Full History