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finite sample evidence of iv estimators under weak instruments (replication data)

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.

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Suggested Citation

Flores-Lagunes, Alfonso (2007): Finite sample evidence of IV estimators under weak instruments (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022319.0714033456