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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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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spelling sg-smu-ink.soe_research-29732017-08-05T07:54:38Z The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression PHILLIPS, Peter C. B. HAN, Chirok 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. (C) 2014 Elsevier B.V. All rights reserved. 2015-02-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1974 info:doi/10.1016/j.econlet.2014.11.030 https://ink.library.smu.edu.sg/context/soe_research/article/2973/viewcontent/TruneLimitDistributionsAndersonHsiao_2014_pp.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Dynamic panel IV estimation Levels and difference instruments Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Dynamic panel
IV estimation
Levels and difference instruments
Econometrics
spellingShingle Dynamic panel
IV estimation
Levels and difference instruments
Econometrics
PHILLIPS, Peter C. B.
HAN, Chirok
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
description 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. (C) 2014 Elsevier B.V. All rights reserved.
format text
author PHILLIPS, Peter C. B.
HAN, Chirok
author_facet PHILLIPS, Peter C. B.
HAN, Chirok
author_sort PHILLIPS, Peter C. B.
title The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
title_short The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
title_full The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
title_fullStr The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
title_full_unstemmed The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
title_sort true limit distributions of the anderson-hsiao iv estimators in panel autoregression
publisher Institutional Knowledge at Singapore Management University
publishDate 2015
url 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
_version_ 1770573486884913152

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