The Asymptotics for Panel Models with Common Shocks

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating of the residuals of the reduced-form equation for endogenous regressors. The second step is a regression model (linear, latent or discrete) with the simulated residual as an additional regressor. In this paper we develop the asymptotic theory for the STS estimator and its rate of convergence

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Year of publication:	2011
Authors:	Kao, Chihwa
Other Persons:	Trapani, Lorenzo (contributor) ; Urga, Giovanni (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Schätztheorie \| Estimation theory \| Schock \| Shock \| Momentenmethode \| Method of moments

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