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

Peter C.B. Phillips, Chirok Han

    Research output: Contribution to journalArticlepeer-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 languageEnglish
    Pages (from-to)89-92
    Number of pages4
    JournalEconomics Letters
    Volume127
    DOIs
    Publication statusPublished - 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

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