A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
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In this paper, we show that for panel AR(p) models, an instrumental variable (IV) estimator with instruments deviated from past means has the same asymptotic distribution as the infeasible optimal IV estimator when bothNandT, the dimensions of the cross section and time series, are large. If we assume that the errors are normally distributed, the asymptotic variance of the proposed IV estimator is shown to attain the lower bound when bothNandTare large. A simulation study is conducted to assess the estimator.
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2017 ◽
Vol 25
(4)
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pp. 509-545
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2013 ◽
Vol 20
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pp. 130-146
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