A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
Year: 2009
Type: article
Abstract: In this paper, we show that for panel AR(p) models, an instrumental variable (IV) estimator with instruments deviated from past means has the same asymptotic distribution as the infeasible optimal IV estimator when bothNandT, the dimensions of the cross section and time series, are large. If we assume that the errors are normally distributed, the asymptotic variance of the proposed IV estimator is shown to attain the lower bound when bothNandTare large. A simulation study is conducted to assess the estimator.
Source: Econometric Theory
Author: Kazuhiko Hayakawa
Institution: Hiroshima University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2138466020