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

In: 30th Anniversary Edition

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  • Badi H. Baltagi
  • Chihwa Kao
  • Long Liu

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

Suggested Citation

  • Badi H. Baltagi & Chihwa Kao & Long Liu, 2012. "On the Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments," Advances in Econometrics, in: 30th Anniversary Edition, pages 199-235, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-9053(2012)0000030012
    DOI: 10.1108/S0731-9053(2012)0000030012
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    1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
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    15. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
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    Cited by:

    1. Tiziano Arduini & Eleonora Patacchini & Edoardo Rainone, 2014. "Identification and Estimation of Outcome Response with Heterogeneous Treatment Externalities," EIEF Working Papers Series 1407, Einaudi Institute for Economics and Finance (EIEF), revised Sep 2014.
    2. Minya Xu & Ping-Shou Zhong & Wei Wang, 2016. "Detecting Variance Change-Points for Blocked Time Series and Dependent Panel Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 213-226, April.
    3. Chihwa Kao & Long Liu & Rui Sun, 2021. "A bias-corrected fixed effects estimator in the dynamic panel data model," Empirical Economics, Springer, vol. 60(1), pages 205-225, January.

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    More about this item

    Keywords

    Weak instrument; panel data; fixed effects; Pitman drift local-to-zero;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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