Document Type
Discussion Paper
Publication Date
12-1-2014
CFDP Number
1963
CFDP Pages
9
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.
Recommended Citation
Phillips, Peter C.B. and Han, Chirok, "True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression" (2014). Cowles Foundation Discussion Papers. 2377.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/2377