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Instrumental Variables Estimation in Large Heterogeneous Panels with Multifactor Structure

journal contribution
posted on 2020-01-01, 00:00 authored by G Forchini, B Jiang, B Peng
AbstractThe 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.

History

Journal

Journal of Econometric Methods

Volume

9

Issue

1

Pagination

1 - 22

Publisher

Walter de Gruyter GmbH

Location

Berlin, Germany

ISSN

2194-6345

eISSN

2156-6674

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

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