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Small sample properties of generalized logit model estimators with bootstrap

โœ Scribed by Kim, Peyong Koo ;Kim, Jong Ho ;Cho, Joong Jae

Book ID
112971902
Publisher
Springer-Verlag
Year
1996
Tongue
English
Weight
147 KB
Volume
3
Category
Article
ISSN
1226-0061

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Using Monte Carlo simulations we study the small sample performance of the traditional TSLS, the LIML and four new jackknife IV estimators when the instruments are weak. We ยฎnd that the new estimators and LIML have a smaller bias but a larger variance than the TSLS. In terms of root mean square erro