We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both crosssectional and time series dimensions, N and T respectively, are large. Our approach initially projects out the common factors...

This article introduces the xtivdfreg command in Stata, which implements a general Instrumental Variables (IV) approach for estimating large panel data models with unobserved common factors or interactive effects, as developed by Norkute et al. (2020) and Cui et al. (2020a). The underlying idea...

This paper puts forward a new instrumental variables (IV) approach for linear panel datamodels with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...

This paper puts forward a new instrumental variables (IV) approach for linear panel data-models with interactive effects in the error term and regressors. The instruments are transformed regressors and so it is not necessary to search for external instruments. The proposed method asymptotically...