Least squares estimation of a panel data model with multifactor error structure and endogenous covariates
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 111 (2011)
Issue (Month): 3 (June)
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Web page: http://www.elsevier.com/locate/ecolet
Panel data Instrumental variables Interactive fixed effects;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Nayoung Lee & Hyungsik Roger Moon & Martin Weidner, 2011.
"Analysis of interactive fixed effects dynamic linear panel regression with measurement error,"
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CWP37/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- 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.
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- 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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