The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression

Peter C.B. Phillips; Chirok Han

doi:10.1016/j.econlet.2014.11.030

The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression

Peter C.B. Phillips, Chirok Han

Department of Economics

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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
Pages (from-to)	89-92
Number of pages	4
Journal	Economics Letters
Volume	127
DOIs	https://doi.org/10.1016/j.econlet.2014.11.030
Publication status	Published - 2015 Feb 1

Keywords

C230
C360
Dynamic panel
IV estimation
Levels and difference instruments

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2014.11.030

Cite this

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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 = "C230, C360, Dynamic panel, IV estimation, Levels and difference instruments",

author = "Phillips, {Peter C.B.} and Chirok Han",

note = "Funding Information: Phillips acknowledges support from the NSF under Grant No. SES 12-58258 . Research by Han was supported by the Korean Government ( 2014S1A2A2027803 ) and Korea University ( K1421311 ). Publisher Copyright: {\textcopyright} 2014 Elsevier B.V..",

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N2 - 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.

AB - 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.

KW - C230

KW - C360

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KW - IV estimation

KW - Levels and difference instruments

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JF - Economics Letters

ER -

The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression

Abstract

Keywords

ASJC Scopus subject areas

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