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.
- Dynamic panel
- IV estimation
- Levels and difference instruments
ASJC Scopus subject areas
- Economics and Econometrics