True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression

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.

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Year of publication:	2014-12
Authors:	Phillips, Peter C.B. ; Han, Chirok
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Dynamic panel \| IV estimation \| Levels and difference instruments

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters (February 2015), 127: 89-92 The price is None Number 1963 9 pages
Classification:	C23 - Models with Panel Data ; c36
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011184578