Detailed Information
Cited 0 time in 
Cited 0 time in 
Cited 0 time in
Metadata Downloads
The true limit distributions of the Anderson-Hsiao IV estimators in panel autoregression
- Authors
- Phillips, Peter C. B.; Han, Chirok
- Issue Date
- 2월-2015
- Publisher
- ELSEVIER SCIENCE SA
- Keywords
- Dynamic panel; IV estimation; Levels and difference instruments
- Citation
- ECONOMICS LETTERS, v.127, pp.89 - 92
- Indexed
- SSCI
SCOPUS
- Journal Title
- ECONOMICS LETTERS
- Volume
- 127
- Start Page
- 89
- End Page
- 92
- ISSN
- 0165-1765
- Abstract
- 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.
- Files in This Item
- There are no files associated with this item.
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.