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Reducing asymptotic bias of weak instrumental estimation using independently repeated cross-sectional information

  • Cai, Zongwu
  • Fang, Ying
  • Su, Jia

In this paper, we consider the instrumental variable estimation (the two-stage least squares estimator and the limited information maximum likelihood estimator) using weak instruments in a repeated measurements or a panel data model. We show that independently repeated cross-sectional data can reduce the asymptotic bias of the instrumental variable estimation when instruments are weakly correlated with endogenous variables. When the number of repeated measurements tends to infinity, we can achieve consistent instrumental variable estimation with weak instruments.

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Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 82 (2012)
Issue (Month): 1 ()
Pages: 180-185

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Handle: RePEc:eee:stapro:v:82:y:2012:i:1:p:180-185
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