Many IVs estimation of dynamic panel regression models with measurement error

Nayoung Lee, Hyungsik Moon () and Qiankun Zhou

Journal of Econometrics, 2017, vol. 200, issue 2, 251-259

Abstract: In this paper, we investigate a dynamic linear panel regression model with measurement error. We consider the panel data estimation whose time dimension (T) is not small and comparable to the cross sectional dimension (N). First, we show that the 2SLS estimator suffers from the bias problem due to many instrumental variables. Using the alternative asymptotics where T3N goes to a constant as N,T→∞, we characterize its asymptotic bias due to many IVs. As a bias reduction method, we investigate the JIVE and derive its limiting distribution under the alternative asymptotics.

Keywords: Dynamic panel regression; Measurement error; Many IVs; JIVE (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:200:y:2017:i:2:p:251-259

DOI: 10.1016/j.jeconom.2017.06.009

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