INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA

B-Tier
Journal: Econometric Theory
Year: 2005
Volume: 21
Issue: 4
Pages: 865-869

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The system two stage least squares estimator for the linear panel data model is shown to have different characterizations depending on the choice of instrument matrix. The more general estimator, where, in effect, separate reduced form linear projections are estimated for each time period, also has the advantage of being applicable when the number of instruments changes across time periods. The issue of efficient estimation is also treated.

Technical Details

RePEc Handle
repec:cup:etheor:v:21:y:2005:i:04:p:865-869_05
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-29