This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic panel data models with error cross-sectional dependence when both N and T, the cross-section and time series dimensions respectively, are large. Our approach asymptotically projects out the common factors from regressors using principal components analysis and then uses the defactored regressors as instruments to estimate the model in a standard way. Therefore, the proposed estimator is computationally very attractive. Furthermore, our procedure requires estimating only the common factors included in the regressors, leaving those that influence the dependent variable solely into the errors. Hence aside from computational simplicity the resultin...
This is the final version. Available on open access from SAGE Publications via the DOI in this recor...
This paper proposes new moment estimators for autoregressive panels with cross-sectional dependence....
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic pan...
This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exo...
This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exo...
This paper considers panel data regression models with weakly exogenous or endogenous regressors and...
This paper considers panel data regression models with weakly exogenous or endogenous regressors and...
This paper proposes a new instrumental variables approach for consistent and asymptotically efficien...
This paper proposes a new instrumental variables approach for consistent and asymptotically effi cie...
This paper proposes a new instrumental variables approach for con-sistent and asymptotically efficie...
This paper proposes a new testing procedure for detecting error cross section dependence after estim...
This paper proposes a new testing procedure for detecting error cross section dependence after estim...
In this article, we introduce the xtivdfreg command, which implements a general instrumental-variabl...
This paper presents a new approach to estimation and inference in panel data models with a multifact...
This is the final version. Available on open access from SAGE Publications via the DOI in this recor...
This paper proposes new moment estimators for autoregressive panels with cross-sectional dependence....
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
This paper develops an instrumental variable (IV) estimator for consistent estimation of dynamic pan...
This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exo...
This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exo...
This paper considers panel data regression models with weakly exogenous or endogenous regressors and...
This paper considers panel data regression models with weakly exogenous or endogenous regressors and...
This paper proposes a new instrumental variables approach for consistent and asymptotically efficien...
This paper proposes a new instrumental variables approach for consistent and asymptotically effi cie...
This paper proposes a new instrumental variables approach for con-sistent and asymptotically efficie...
This paper proposes a new testing procedure for detecting error cross section dependence after estim...
This paper proposes a new testing procedure for detecting error cross section dependence after estim...
In this article, we introduce the xtivdfreg command, which implements a general instrumental-variabl...
This paper presents a new approach to estimation and inference in panel data models with a multifact...
This is the final version. Available on open access from SAGE Publications via the DOI in this recor...
This paper proposes new moment estimators for autoregressive panels with cross-sectional dependence....
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...