The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression

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 te...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., HAN, Chirok
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Dynamic panel
IV estimation
Levels and difference instruments
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1974
https://ink.library.smu.edu.sg/context/soe_research/article/2973/viewcontent/TruneLimitDistributionsAndersonHsiao_2014_pp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1974
https://ink.library.smu.edu.sg/context/soe_research/article/2973/viewcontent/TruneLimitDistributionsAndersonHsiao_2014_pp.pdf

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