Hayakawa, Kazuhiko - Institute of Economic Research, Hitotsubashi University - 2007
both N and T are
large. A simulation study is conducted to assess the estimator.
Keywords: panel AR(p) models, the optimal … instruments, the backward or-
thogonal deviation.
JEL classification: C13, C23.
∗
E-mail : em031112@ yahoo.co.jp (Remove the space …
+ ···+ v
iT
)/(T − t)], and c
2
t
=(T − t)/(T − t + 1).
2.2 The instrumental variable estimators
The infeasible optimal …