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Consistent Estimation with Weak Instruments in Panel Data

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Abstract

This note analyzes the asymptotic distribution for instrumental variables regression for panel data when the available instruments are weak. We show that consistency can be established in panel data.

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File URL: http://www.maxwell.syr.edu/uploadedFiles/cpr/publications/working_papers2/wp95.pdf
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Bibliographic Info

Paper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 95.

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Length: 10 pages
Date of creation: May 2007
Date of revision:
Handle: RePEc:max:cprwps:95

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Keywords: Weak instrument; Two stage least squares; Panel data; Concentration parameter.;

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  1. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
  2. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  3. 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.
  4. Hyungsik R. Moon & Peter C.B. Phillips, 1999. "Estimation of Autoregressive Roots Near Unity Using Panel Data," Cowles Foundation Discussion Papers 1224, Cowles Foundation for Research in Economics, Yale University.
  5. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
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