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

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 127
Issue: C
Pages: 89-92

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:127:y:2015:i:c:p:89-92
Journal Field
General
Author Count
2
Added to Database
2026-01-25