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A note on the Anderson-Hsiao estimator for panel data

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
31
Issue
4
Identifiers
DOI: 10.1016/0165-1765(89)90025-6

Abstract

Abstract The asymptotic variances of the IV estimators for dynamic panel data proposed by Anderson and Hsiao (1982) are obtained for some simple models. With an autoregressive exogenous variable, the estimator that uses differenced instruments has a singularity point and very large variances over a significant range of parameter values. On the contrary, the estimator that uses instruments in levels has no singularities and much smaller variances.

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