We present finite sample evidence on different IV estimators available for linear models under weak instruments; explore the application of the bootstrap as a bias reduction technique to attenuate their finite sample bias; and employ three empirical applications to illustrate and provide insights into the relative performance of the estimators in practice. Our evidence indicates that the random-effects quasi-maximum likelihood estimator outperforms alternative estimators in terms of median point estimates and coverage rates, followed by the bootstrap bias-corrected version of LIML and LIML. However, our results also confirm the difficulty of obtaining reliable point estimates in models with weak identification and moderate-size samples.
|Original language||English (US)|
|Number of pages||18|
|Journal||Journal of Applied Econometrics|
|State||Published - Apr 1 2007|
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics