AcademicsWorking Papers

Reducing the Asymptotic Bias of Weak Instruments Estimation Using Independently Repeated Cross-sectional Information
Zongwu Cai, Ying Fang
#001999 20131014 (published)
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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