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Journal of Econometric Methods

Ed. by Giacomini, Raffaella / Li, Tong


Mathematical Citation Quotient (MCQ) 2018: 0.06

Online
ISSN
2156-6674
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Instrumental Variables Estimation in Large Heterogeneous Panels with Multifactor Structure

Giovanni ForchiniORCID iD: https://orcid.org/0000-0002-1377-9469 / Bin Jiang / Bin Peng
Published Online: 2019-08-30 | DOI: https://doi.org/10.1515/jem-2018-0003

Abstract

The paper proposes new instrumental variables estimators for the slope parameters of a panel data model with classical endogeneity in which all the observables – including the instruments – may have a common factors structure. These estimators are shown to be consistent and asymptotically normal under weak regularity conditions. A small Monte Carlo simulation shows that these estimators compare favourably to existing estimators.

Keywords: common correlated effects estimator; common correlated effects mean group estimator; endogeneity; heterogeneous panels; instrumental variables estimator; multifactor structure

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About the article

Published Online: 2019-08-30


Funding Source: Australian Research Council

Award identifier / Grant number: DP0985432

This research was partially supported by Australian Research Council Funder Id: 10.13039/501100000923, grant DP0985432.


Citation Information: Journal of Econometric Methods, 20180003, ISSN (Online) 2156-6674, DOI: https://doi.org/10.1515/jem-2018-0003.

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