True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression

Peter Phillips and Chirok Han

No 1963, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

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)
Pages: 9 pages
Date: 2014-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

Published in Economics Letters (February 2015), 127: 89-92

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Journal Article: The true limit distributions of the Anderson–Hsiao IV estimators in panel autoregression (2015)
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