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Consistent Estimation with Weak Instruments in Panel Data

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Author Info
Chihwa Kao () (Center for Policy Research, Maxwell School, Syracuse University, Syracuse, NY 13244-1020)
Long Liu () (Department of Economics, Maxwell School, Syracuse University, Syracuse, NY 13244-1020)

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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-cpr.maxwell.syr.edu/cprwps/pdf/wp95.pdf
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Publisher 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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Related research
Keywords: Weak instrument; Two stage least squares; Panel data; Concentration parameter.;

Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    Other versions:
  2. Moon, Hyungsik R. & Phillips, Peter C.B., 2000. "Estimation Of Autoregressive Roots Near Unity Using Panel Data," Econometric Theory, Cambridge University Press, vol. 16(06), pages 927-997, December. [Downloadable!]
    Other versions:
  3. Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  4. 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.
  5. 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. [Downloadable!] (restricted)
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Statistics
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This page was last updated on 2009-11-27.

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