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.
Original language | English |
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Pages (from-to) | 89-92 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 127 |
DOIs | |
Publication status | Published - 2015 Feb 1 |
Bibliographical note
Publisher Copyright:© 2014 Elsevier B.V..
Keywords
- C230
- C360
- Dynamic panel
- IV estimation
- Levels and difference instruments
ASJC Scopus subject areas
- Finance
- Economics and Econometrics