Publication Type
Journal Article
Version
submittedVersion
Publication Date
2-2015
Abstract
This note derives the correct limit distributions of the Anderson-Hsiao (1981) levels and differences instrumental variable estimators, provides comparisons showing that the levels IV estimator has uniformly smaller variance asymptotically as the cross section (n) and time series (T) sample sizes tend to infinity, and compares these results with those of the first difference least squares (FDLS) estimator. (C) 2014 Elsevier B.V. All rights reserved.
Keywords
Dynamic panel, IV estimation, Levels and difference instruments
Discipline
Econometrics
Research Areas
Econometrics
Publication
Economics Letters
Volume
127
First Page
89
Last Page
92
ISSN
0165-1765
Identifier
10.1016/j.econlet.2014.11.030
Publisher
Elsevier
Embargo Period
8-5-2017
Citation
PHILLIPS, Peter C. B. and HAN, Chirok.
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression. (2015). Economics Letters. 127, 89-92.
Available at: https://ink.library.smu.edu.sg/soe_research/1974
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.econlet.2014.11.030