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

Peter Phillips and Chirok Han

Economics Letters, 2015, vol. 127, issue C, 89-92

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.

Keywords: Dynamic panel; IV estimation; Levels and difference instruments (search for similar items in EconPapers)
JEL-codes: C23 C36 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Working Paper: True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:127:y:2015:i:c:p:89-92

DOI: 10.1016/j.econlet.2014.11.030

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