Two-Sample IV: Efficient Two-Step Estimation and Tests for Overidentification and Weak-Instruments
两样本工具变量:有效两步估计、过度识别与弱工具检验
Two-sample IV is a popular estimation method when the outcome and treatment variables are available in different samples, whereas instruments are available in both samples. The standard estimator is two-sample two-stage least squares estimator, which is efficient under homoskedasticity and homogeneity of the samples. We develop a robust two-step procedure for efficient estimation under general heteroskedasticity and heterogeneity of the samples, and propose a related…