Forchini, G.; Jiang, Bin; Peng, Bin - Department of Econometrics and Business Statistics, … - 2015
This paper introduces a novel approach to study the effects of common shocks on panel data models with endogenous … readers who wish to further investigate the effects of common shocks on panel data. The paper shows that the key assumption in … determining consistency of the panel TSLS and LIML estimators is the independence of the factor loadings in the reduced form …