The 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:	2015
Authors:	Phillips, Peter C.B. ; Han, Chirok
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 127.2015, C, p. 89-92
Publisher:	Elsevier
Subject:	Dynamic panel \| IV estimation \| Levels and difference instruments

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Type of publication:	Article
Classification:	C23 - Models with Panel Data ; c36
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189543