Modelling Optimal Instrumental Variables for Dynamic Panel Data Models

Manuel Arellano

Working Papers from CEMFI

Abstract: Two-step instrumental variable estimators for dynamic panel data models are considered that are asymptotically efficient under some auxiliary assumptions, but remain consistent when the assumptions are violated. Asymptotic efficiency is defined in relation to the information bound for the conditional mean specification of the model. Unlike in standard panel GMM, optimal instruments are parameterized using a fixed number of coefficients for any value of T. Thus, the properties of the resulting estimators are not fundamentally affected by the relative dimensions of T and N.

Date: 2003
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
https://www.cemfi.es/ftp/wp/0310.pdf (application/pdf)

Related works:
Journal Article: Modelling optimal instrumental variables for dynamic panel data models (2016)
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:cmf:wpaper:wp2003_0310

Access Statistics for this paper

More papers in Working Papers from CEMFI Contact information at EDIRC.
Bibliographic data for series maintained by Araceli Requerey ().