CFDP 1963

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

Author(s): 
Peter C. B. PhillipsChirok Han

Publication Date: December 2014

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.

Keywords: 

Dynamic panel, IV estimation, Levels and difference instruments

JEL Classification Codes:  C230, C360

See CFP: 1455