DOI: 10.1177/1536867x231212432 ISSN: 1536-867X

csa2sls: A complete subset approach for many instruments using Stata

Seojeong Lee, Siha Lee, Julius Owusu, Youngki Shin
  • Mathematics (miscellaneous)

We developed a command, csa2sls, that implements the complete subset averaging two-stage least-squares (CSA2SLS) estimator in Lee and Shin (2021, Econometrics Journal 24: 290–314). The CSA2SLS estimator is an alternative to the two-stage least-squares estimator that remedies the bias issue caused by many correlated instruments. We conduct Monte Carlo simulations and confirm that the CSA2SLS estimator reduces both the mean squared error and the estimation bias substantially when instruments are correlated. We illustrate the usage of csa2sls in Stata with an empirical application.

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