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

Peter C.B. Phillips, Chirok Han

Research output: Contribution to journalArticle

2 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

Keywords

  • C230
  • C360
  • Dynamic panel
  • IV estimation
  • Levels and difference instruments

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Fingerprint Dive into the research topics of 'The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression'. Together they form a unique fingerprint.

  • Cite this