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| Author | Zongwu Cai, Ying Fang, Henong Li |
| Content | 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. |
| JEL-Codes | C13, C14, C33 |
| Keywords | Longitudinal Data; Nearly Weak Instruments; Panel Data; Weak Instruments; Within-group TSLS Estimator. |
