Forchini, Giovanni; Jiang, Bin; Peng, Bin - In: Econometrics 6 (2018) 2, pp. 1-12
panel data models where the observables are affected by common shocks, modelled through unobservable factors, are studied … the factor loadings in the errors and in the exogenous variables-including the instruments-conditional on the common … shocks. If this condition fails, both estimators have degenerate distributions. When the panel TSLS and LIML estimators are …