EconPapers    
Economics at your fingertips  
 

The Covariance Transformation and the Instrumental Variables Estimator of the Fixed Effects Model

Jeffrey Pliskin

Oxford Bulletin of Economics and Statistics, 1991, vol. 53, issue 1, 95-98

Abstract: The covariance transformation is a useful and often necessary procedure to estimate the fixed effects model. When some explanatory variables are contemporaneously correlated with the disturbance term, the slope coefficients can be consistently estimated by an instrumental variables estimator. This paper describes how to use the covariance transformation to compute the instrumental variables estimator as a two-stage-least-squares estimator. Discussions of the relative asymptotic efficiency of alternative sets of instrumental variables and how to construct a consistent estimator of the asymptotic covariance matrix of the instrumental variables estimator are also provided. Copyright 1991 by Blackwell Publishing Ltd

Date: 1991
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The Covariance Transformation And the Instrumental Variables Estimator of the Fixed Effects Model (1989) Downloads
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: https://EconPapers.repec.org/RePEc:bla:obuest:v:53:y:1991:i:1:p:95-98

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2025-03-19
Handle: RePEc:bla:obuest:v:53:y:1991:i:1:p:95-98