Two-stage least squares (2SLS)
GPTKB entity
Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
estimation technique |
| gptkbp:alternativeTo |
limited information maximum likelihood (LIML)
|
| gptkbp:assumes |
instruments are uncorrelated with error term
instruments are correlated with endogenous regressors |
| gptkbp:category |
linear regression
simultaneous equations models |
| gptkbp:developedBy |
gptkb:Basmann
gptkb:Theil |
| https://www.w3.org/2000/01/rdf-schema#label |
Two-stage least squares (2SLS)
|
| gptkbp:introducedIn |
1953
|
| gptkbp:limitation |
biased in small samples
sensitive to weak instruments |
| gptkbp:output |
consistent estimators
|
| gptkbp:relatedTo |
ordinary least squares (OLS)
|
| gptkbp:requires |
valid instruments
|
| gptkbp:step |
second stage: regress dependent variable on predicted values
first stage: regress endogenous variables on instruments |
| gptkbp:usedFor |
addressing endogeneity
instrumental variable estimation |
| gptkbp:usedIn |
econometrics
|
| gptkbp:bfsParent |
gptkb:Henri_Theil
|
| gptkbp:bfsLayer |
6
|