A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR( p) MODELS WHEN BOTH N AND T ARE LARGE

Kazuhiko Hayakawa ()

Econometric Theory, 2009, vol. 25, issue 03, pages 873-890

Abstract: 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 both N and T, 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 both N and T are large. A simulation study is conducted to assess the estimator.

Date: 2009

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466609090707 link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:25:y:2009:i:03:p:873-890_09

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().