Title

True Limit Distributions of the Anderson-Hsiao IV Estimators in Panel Autoregression

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.

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