Let's talk about the two-step. Not the tango or the polka. The two-step!
More specifically let's talk about a particular two-step estimator that we use all of the time in econometrics. I want to clear up some misconceptions that I seem to encounter all too frequently when I read empirical "applied" papers.
Why is it that some people insist on using the term "Two Stage Least Squares" inappropriately?
Let me explain what I mean.