Alternative Approximations of the Bias and MSE of the IV Estimator under Weak Identification with Application in Bias Correction
J.C. Chao and N.R. Swanson ,
( 137 )
Journal of Econometrics

We provide analytical formulae for the asymptotic bias (ABIAS) and mean-squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small) positive limit as the number of instruments approaches infinity. Our analytical formulae can be viewed as generalizing the bias and MSE results of [Richardson and Wu 1971. A note on the comparison of ordinary and two-stage least squares estimators.

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