We show that in the nonparametric triangular simultaneous equations model, the mean independence conditional moment restriction (CMR) identifies a causal relation between the dependent variable and an endogenous covariate, only if the model is structurally separable in observable covariates and...

This paper investigates a simple dynamic linear panel regression model with both fixed effects and time effects. Using large n and large T asymptotics, we approximate the distribution of the fixed effect estimator of the autoregressive parameter in the dynamic linear panel model and derive its...