Exclusion restrictions in instrumental variables equations
研究了在工具变量方程存在递归排除限制的结构方程中，使用两阶段估计器（如OLS和GLS）的问题，并提出了一类混合工具变量估计器（MIV），其效率优于传统两阶段估计器，且与3SLS等系统估计器一样有效。
In this paper we consider two-stage estimators of parameters of a structural equation in a model with recursive exclusion restrictions on the instrumental variables equations. The estimations considered are simple OLS and GLS estimators after substitution of estimates of the systematic part of the IV equations for the endogenous variables. It is known in the literature that neither imposing the restrictions in the first stage nor ignoring them will in general be more efficient than the alternative. We introduce a class of mixed instrumental variables estimators (MIV) with these possibilities as special cases which yields an estimator which is not only more efficient than the two stage estimators considered in the literature but as efficient as an efficient system estimator like 3SLS.