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

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

5 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

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

Access to Document

10.1016/j.econlet.2014.11.030

Cite this

@article{37b1a8b4ba8d47f88e3c0007398b0ea9,

title = "The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression",

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 = "Publisher Copyright: {\textcopyright} 2014 Elsevier B.V..",

year = "2015",

month = feb,

day = "1",

doi = "10.1016/j.econlet.2014.11.030",

language = "English",

volume = "127",

pages = "89--92",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier B.V.",

}

TY - JOUR

T1 - The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression

AU - Phillips, Peter C.B.

AU - Han, Chirok

PY - 2015/2/1

Y1 - 2015/2/1

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

KW - Dynamic panel

KW - IV estimation

KW - Levels and difference instruments

UR - http://www.scopus.com/inward/record.url?scp=84921490522&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2014.11.030

DO - 10.1016/j.econlet.2014.11.030

M3 - Article

AN - SCOPUS:84921490522

SN - 0165-1765

VL - 127

SP - 89

EP - 92

JO - Economics Letters

JF - Economics Letters

ER -

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

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this