On The Estimation and Testing of Fixed Effects Panel Data Models with Weak Instruments
AbstractThis 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 ≤ ∞. Key Words: Weak Instrument; Panel Data; fixed effects; Pitman drift local-to-zero JEL No. C13, C33
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 143.
Length: 33 pages
Date of creation: Sep 2012
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Find related papers by 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; Longitudinal Data; Spatial Time Series
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