The Robustness of the 2SLS Moment Approximations
نویسنده
چکیده
In a seminal paper Nagar (1959) obtained moment approximations for the k-class of estimators in a general static simultaneous equation model under the assumption that the structural disturbances were i.i.d and normally distributed. While it has been known for some time that the normality assumption can be relaxed when obtaining the bias approximation, it has not been demonstrated that the second moment approximation can also be obtained in this less restricted setting.In this paper we show that both bias and variance approximations for the 2SLS estimator are robust to the error distribution provided that the errors are i.i.d.
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The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances
In a seminal paper Nagar (1959) obtained rst and second moment approximations for the k-class of estimators in a general static simultaneous equation model under the assumption that the structural disturbances were i.i.d and normally distributed.Later Mikhail (1972) obtained a higher-order bias approximation for 2SLS under the same assumptions as Nagar while Iglesias and Phillips (2010) obtain...
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