INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA

Jeffrey Wooldridge

Econometric Theory, 2005, vol. 21, issue 4, 865-869

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.

Date: 2005
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