Instrumental variables

2SLS standard errors and the delta-method

I just covered instrumental variables in my course on causal inference, and so I have two-stage least squares (2SLS) estimation on the brain. In this post I’ll share something I realized in the course of prepping for class: that standard errors from 2SLS estimation are equivalent to delta method standard errors based on the Wald IV estimator. (I’m no econometrician, so this had never occurred to me before. Perhaps it will be interesting to other non-econometrician readers.