Weak Instrumental Variables Models for Longitudinal Data
Zongwu Cai, Ying Fang, Henong Li
#002137 20131014 (published) Views:147
This paper considers the estimation and testing of a within-group two-stage least squares (TSLS) estimator for instruments with varying degrees of weakness in a longitudinal (panel) Data model. We show that adding the repeated cross-sectional information into aregression model can improve the estimation in weak instruments. Moreover, the consistency and limiting distribution of the TSLS estimator are established when both N and T tend to inﬁnity. Some asymptotically pivotal tests are extended to alongitudinal data model and their asymptotic properties are examined. A Monte Carlo experiment is conducted to evaluate the ﬁnite sample performance of the proposed estimators.