Consistent Estimation with Weak Instruments in Panel Data

Chihwa Kao and Long Liu

No 95, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This note analyzes the asymptotic distribution for instrumental variables regression for panel data when the available instruments are weak. We show that consistency can be established in panel data.

Keywords: Weak instrument; Two stage least squares; Panel data; Concentration parameter. (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2007-05
New Economics Papers: this item is included in nep-ecm
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