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Instrumental Variables Estimation With Panel Data

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  • Wooldridge, Jeffrey M.

Abstract

The system two stage least squares estimator for the linear panel data model is shown to have different characterizations depending on the choice of instrument matrix. The more general estimator, where, in effect, separate reduced form linear projections are estimated for each time period, also has the advantage of being applicable when the number of instruments changes across time periods. The issue of efficient estimation is also treated.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 04 (August)
Pages: 865-869

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Handle: RePEc:cup:etheor:v:21:y:2005:i:04:p:865-869_05

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Cited by:
  1. Christian Almer & Stefan Boes, 2012. "Climate (change) and conflict: resolving a puzzle of association and causation," Diskussionsschriften dp1203, Universitaet Bern, Departement Volkswirtschaft.
  2. Kazuhiko Hayakawa, 2006. "Efficient GMM Estimation of Dynamic Panel Data Models Where Large Heterogeneity May Be Present," Hi-Stat Discussion Paper Series d05-130, Institute of Economic Research, Hitotsubashi University.
  3. Marta Spreafico, 2013. "Institutions, the resource curse and the transition economies: further evidence," DISCE - Quaderni dell'Istituto di Politica Economica ispe0064, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).

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