On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments

Badi Baltagi, Chihwa Kao and Long Liu

A chapter in 30th Anniversary Edition, 2012, pp 199-235 from Emerald Group Publishing Limited

Abstract: This chapter studies the asymptotic properties of within-groups k-class estimators in a panel data model with weak instruments. Weak instruments are characterized by the coefficients of the instruments in the reduced form equation shrinking to zero at a rate proportional to nTδ, where n is the dimension of the cross-section and T is the dimension of the time series. Joint limits as (n,T)→∞ show that this within-group k-class estimator is consistent if 0≤δ

Keywords: Weak instrument; panel data; fixed effects; Pitman drift local-to-zero (search for similar items in EconPapers)
Date: 2012
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Working Paper: On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-9053(2012)0000030012

DOI: 10.1108/S0731-9053(2012)0000030012

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