Document Type

Working Paper

Date

9-2012

Embargo Period

10-8-2012

Keywords

Weak Instrument; Panel Data; fixed effects; Pitman drift local-to-zero

Disciplines

Economics | Public Affairs, Public Policy and Public Administration

Description/Abstract

This paper 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 ≤ ½ and inconsistent if ½ ≤δ ≤ ∞.

Source

local input

Creative Commons License


This work is licensed under a Creative Commons Attribution 3.0 License.