Search results

1 – 1 of 1
Book part
Publication date: 19 December 2012

Badi H. Baltagi, Chihwa Kao and Long Liu

This chapter studies the asymptotic properties of within-groups k-class estimators in a panel data model with weak instruments. Weak instruments are characterized by the…

Abstract

This chapter 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<12 and inconsistent if 12≤δ<∞.

Details

30th Anniversary Edition
Type: Book
ISBN: 978-1-78190-309-4

Keywords

1 – 1 of 1