Year: 2005
Type: preprint
Abstract: Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator. In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct. Our comparison of the properties of the two estimators demonstrates that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator and also is more robust to a practically relevant type of sample stratification.
Authors: Atsushi Inoue, Gary Solon
Institutions: North Carolina State University, Michigan State University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W3122750741