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

Fingerprint

Instrumental variables estimator
Limit distribution
Estimator
Sample size
Least squares estimator
Cross section
Autoregression

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

The true limit distributions of the Anderson-Hsiao IVestimators in panel autoregression. / Phillips, Peter C B; Han, Chirok.

In: Economics Letters, Vol. 127, 01.02.2015, p. 89-92.

Research output: Contribution to journalArticle

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