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Least squares estimation of a panel data model with multifactor error structure and endogenous covariates

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  • Harding, Matthew
  • Lamarche, Carlos
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    Abstract

    We propose a method for estimating the slope parameter in an interactive effects panel data model with endogenous loadings and factors, and endogenous regressors.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176511000516
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 111 (2011)
    Issue (Month): 3 (June)
    Pages: 197-199

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    Handle: RePEc:eee:ecolet:v:111:y:2011:i:3:p:197-199

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Panel data Instrumental variables Interactive fixed effects;

    References

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    1. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, 07.
    2. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo Group Munich.
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    Cited by:
    1. T. De Groote & G. Everaert, 2011. "Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/723, Ghent University, Faculty of Economics and Business Administration.
    2. Lee, Nayoung & Moon, Hyungsik Roger & Weidner, Martin, 2012. "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," Economics Letters, Elsevier, vol. 117(1), pages 239-242.
    3. Jonathan R. W. Temple & Nicolas Van de Sijpe, 2014. "Foreign Aid and Domestic Absorption," CSAE Working Paper Series 2014-01, Centre for the Study of African Economies, University of Oxford.
    4. Hyungsik Roger Moon & Martin Weidner, 2013. "Dynamic linear panel regression models with interactive fixed effects," CeMMAP working papers CWP63/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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