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Weak Instruments in Panel Data Models

In: HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION

Author

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  • Chihwa Kao
  • Long Liu

Abstract

The issues of weak IV have attracted considerable attention; see Stock, Wright, and Yogo (2002) for a survey. This chapter is based on Baltagi, Kao, and Liu (2012). It is known that when IVs are weak, the 2SLS estimator is inconsistent, as we will explain in Sec. 4.1. However, in the panel data model with both large n and T, we show that the 2SLS is consistent. Hence the large panel model with weak IV is identifiable…

Suggested Citation

  • Chihwa Kao & Long Liu, 2019. "Weak Instruments in Panel Data Models," World Scientific Book Chapters, in: HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, chapter 4, pages 109-127, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811200168_0004
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    Keywords

    Large Dimensional; Large Panel; Identification; High-Dimensional Econometrics; Econometrics; Statistics; True Signal; High-Dimensional Data; Panel Data Model; Panel Data; Panel Spurious Regressions; Autocorrelation Parameter; Dynamic Linear Panels; Incidental Parameters;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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