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1 – 1 of 1Badi 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<∞.
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