This paper proposes a new instrumental variables estimator for a dynamic panel model with .xed e¤ects with good bias and mean squared error properties even when identi.cation of the model becomes weak near the unit circle. We adopt a weak instrument asymptotic approximation to study the...

In this paper, we consider parameter estimation in a linear simultaneous equations model. It is well known that two-stage least squares (2SLS) estimators may perform poorly when the instruments are weak. In this case 2SLS tends to suffer from the substantial small sample biases. It is also known...

We demonstrate analytically that for the widely used simultaneous equation model with one jointly endogenous variable and valid instruments, 2SLS has smaller MSE error, up to second order, than OLS unless the R², or the F statistic of the reduced form equation is extremely low. We also consider...