Non parametric analysis of panel data models with endogenous variables

A-Tier
Journal: Journal of Econometrics
Year: 2014
Volume: 181
Issue: 2
Pages: 151-164

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

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

Abstract

This paper considers the estimation of panel data models by first differences in the presence of endogenous variables and under an instrumental variables condition. This framework leads to the resolution of linear inverse problems solved using a Tikhonov regularization with L2 or Sobolev penalty. Rates of convergence and data driven selection of the regularization parameters are proposed. The practical implementation of our estimators is presented and some Monte Carlo simulations show the potential of the method.

Technical Details

RePEc Handle
repec:eee:econom:v:181:y:2014:i:2:p:151-164
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25