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Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information

Zongwu Cai, Ying Fang () and Jia Su

Statistics & Probability Letters, 2012, vol. 82, issue 1, 180-185

Abstract: In this paper, we consider the instrumental variable estimation (the two-stage least squares estimator and the limited information maximum likelihood estimator) using weak instruments in a repeated measurements or a panel data model. We show that independently repeated cross-sectional data can reduce the asymptotic bias of the instrumental variable estimation when instruments are weakly correlated with endogenous variables. When the number of repeated measurements tends to infinity, we can achieve consistent instrumental variable estimation with weak instruments.

Keywords: Bias reduction; Panel data; Weak instruments (search for similar items in EconPapers)
Date: 2012
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Working Paper: Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information (2013) Downloads
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DOI: 10.1016/j.spl.2011.09.020

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