make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both …) in the auxiliary model. We find that both power and bias are similar when the number of variables used is the same …. Raising the number of variables lowers the bias but may also raise the power unacceptably because it lowers the chances of …

This paper considers estimation and inference concerning the autoregressive coefficient (p) in a panel autoregression … extensive set of new results on the asymptotic behavior of panel IV estimators in weak instrument settings. …