On The Bias and MSE of The IV Estimator Under Weak Identi ̄ cation ¤

  title={On The Bias and MSE of The IV Estimator Under Weak Identi ̄ cation ¤},
  author={John Chao and Norman R. Swanson},
In this paper we provide further results on the properties of the IV estimator in the presence of weak instruments.We begin by formalizing the notion of weak identi ̄cation within the local-to-zero asymptotic framework of Staiger and Stock (1997), and deriving explicit analytical formulae for the asymptotic bias and mean square error (MSE) of the IV estimator. These results generalize earlier ̄ndings by Staiger and Stock (1997), who give an approximate measure for the asymptotic bias of the… CONTINUE READING


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