An Asymptotically Smoothed Two-Stage Nonlinear Least Squares Estimator for Threshold Regression Models with Endogenous Variable

2010 ◽  
Author(s):  
Daniele Massacci
Keyword(s):  
Least Squares ◽  
Regression Models ◽  
Nonlinear Least Squares ◽  
Least Squares Estimator ◽  
Endogenous Variable ◽  
Threshold Regression ◽  
Two Stage

Two-sample instrumental-variables regression with potentially weak instruments

2019 ◽  
Vol 19 (3) ◽  
pp. 581-597
Author(s):  
Jaerim Choi ◽  
Shu Shen
Keyword(s):  
Least Squares ◽  
Instrumental Variables ◽  
Regression Models ◽  
Statistical Tests ◽  
Least Squares Estimator ◽  
Confidence Sets ◽  
Two Stage ◽  
Weak Instruments ◽  
Coverage Probabilities ◽  
Correct Size

We develop a command, weaktsiv, for two-sample instrumentalvariables regression models with one endogenous regressor and potentially weak instruments. weaktsiv includes the classic two-sample two-stage least-squares estimator whose inference is valid only under the assumption of strong instruments. It also includes statistical tests and confidence sets with correct size and coverage probabilities even when the instruments are weak.

Robust second-order least-squares estimator for regression models

2010 ◽  
Vol 53 (2) ◽  
pp. 371-386 ◽  
Author(s):  
Xin Chen ◽  
Min Tsao ◽  
Julie Zhou
Keyword(s):  
Least Squares ◽  
Regression Models ◽  
Second Order ◽  
Least Squares Estimator
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