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Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
id: 1999
Date: 20131014
status: published
Times:
Author
Zongwu Cai, Ying Fang
Content
We show that independently repeated cross-sectional data can reduce the asymptotic bias when instruments are weakly correlated to the endogenous variables. When both N and T go to infinite, we can obtain consistent estimators even if instruments are weak.
JEL-Codes
C13 C33
Keywords
Bias reduction; Weak instruments; Panel data.
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