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

Author(s)/Creator(s)

Badi Baltagi, Syracuse UniversityFollow
Chihwa Kao, Syracuse UniversityFollow
Long Liu, University of Texas at San Antonio

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 ≤ ∞.

Document Type

Working Paper

Date

9-2012

Keywords

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

Series

Working Papers Series

Disciplines

Economics | Public Affairs, Public Policy and Public Administration

Additional Information

Working paper no. 143

Recommended Citation

Baltagi, Badi; Kao, Chihwa; and Liu, Long, "On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments" (2012). Center for Policy Research. 187.
https://surface.syr.edu/cpr/187

Source

local input

Creative Commons License

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