Title: Instrumental Variables Estimation in Large Heterogeneous Panels with Multifactor Structure
Abstract: 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.
Publication Year: 2019
Publication Date: 2019-08-30
Language: en
Type: article
Indexed In: ['crossref']
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