csa2sls: A complete subset approach for many instruments using Stata

• Tác giả: Seojeong Lee, Siha Lee, Julius Owusu, Youngki Shin
• Ngôn ngữ: eng
• Ký hiệu phân loại: 001.434 Experimental method
• Thông tin xuất bản: 2022
• Bộ sưu tập: Metadata
• ID: 195552

Tóm tắt

Comment: 10 pages, 1 figure, under review by the Stata JournalWe develop a Stata command $\texttt{csa2sls}$ that implements the complete subset averaging two-stage least squares (CSA2SLS) estimator in Lee and Shin (2021). The CSA2SLS estimator is an alternative to the two-stage least squares estimator that remedies the bias issue caused by many correlated instruments. We conduct Monte Carlo simulations and confirm that the CSA2SLS estimator reduces both the mean squared error and the estimation bias substantially when instruments are correlated. We illustrate the usage of $\texttt{csa2sls}$ in Stata by an empirical application.