Weak Instrument; Panel Data; fixed effects; Pitman drift local-to-zero
Working Papers Series
Economics | Public Affairs, Public Policy and Public Administration
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 ≤ ∞.
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.
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Working paper no. 143