Two-Sample Instrumental Variables Estimators
推导并比较了两样本工具变量（TSIV）和两样本两阶段最小二乘（TS2SLS）估计量的渐近分布，发现TS2SLS更有效，并澄清了其标准误估计的混淆。
Following an influential article by Angrist and Krueger (1992) on two-sample instrumental variables (TSIV) estimation, numerous empirical researchers have applied a computationally convenient two-sample two-stage least squares (TS2SLS) variant of Angrist and Krueger's estimator. In the two-sample context, unlike the single-sample situation, the IV and 2SLS estimators are numerically distinct. We derive and compare the asymptotic distributions of the two estimators and find that the commonly used TS2SLS estimator is more asymptotically efficient than the TSIV estimator. We also resolve some confusion in the literature about how to estimate standard errors for the TS2SLS estimator. © 2010 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.