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Reducing Asymptotic Bias of Weak Instrumental

id：2148 时间：20131014 status：published 点击数：
杂志Statistics & Probability Lette   
作者Zongwu Cai, Ying Fang and Jia Su
正文In this paper, we consider the instrumental variables 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 variables estimation when instruments are weakly correlated with endogenous variables. When the number of repeated measurements tends to infinity, we can achieve consistent instrumental variables estimation with weak instruments.
JEL-Codes：
关键词：Bias reduction; Panel data; Weak instruments.
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