Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification With an Application to Bias Correction ∗

Abstract

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small) positive limit as the number of instruments approaches infinity… (More)

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