Two-Sample Instrumental Variables Estimators

19 Pages Posted: 6 Jul 2005

See all articles by Atsushi Inoue

Atsushi Inoue

Southern Methodist University

Gary Solon

University of Arizona; National Bureau of Economic Research (NBER)

Date Written: June 2005

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.

Suggested Citation

Inoue, Atsushi and Solon, Gary, Two-Sample Instrumental Variables Estimators (June 2005). NBER Working Paper No. t0311. Available at SSRN: https://ssrn.com/abstract=745805

Atsushi Inoue

Southern Methodist University ( email )

Dallas, TX 75275
United States

Gary Solon (Contact Author)

University of Arizona ( email )

Department of Economics
Eller College of Management
Tucson, AZ 85719
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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