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On a generalization of the test of endogeneity in a two stage least squares estimation

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In situations that the predictors are correlated with the error term, we propose a bridge estimator in the two-stage least squares estimation. We apply this estimator to overcome the multicollinear... Click to show full abstract

In situations that the predictors are correlated with the error term, we propose a bridge estimator in the two-stage least squares estimation. We apply this estimator to overcome the multicollinear...

Keywords: stage least; least squares; two stage; generalization test; squares estimation

Journal Title: Journal of Applied Statistics
Year Published: 2020

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