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Many IVs estimation of dynamic panel regression models with measurement error

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  • Lee, Nayoung
  • Moon, Hyungsik Roger
  • Zhou, Qiankun

Abstract

In this paper, we investigate a dynamic linear panel regression model with measurement error. We consider the panel data estimation whose time dimension (T) is not small and comparable to the cross sectional dimension (N). First, we show that the 2SLS estimator suffers from the bias problem due to many instrumental variables. Using the alternative asymptotics where T3N goes to a constant as N,T→∞, we characterize its asymptotic bias due to many IVs. As a bias reduction method, we investigate the JIVE and derive its limiting distribution under the alternative asymptotics.

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  • Lee, Nayoung & Moon, Hyungsik Roger & Zhou, Qiankun, 2017. "Many IVs estimation of dynamic panel regression models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 251-259.
    • Handle: RePEc:eee:econom:v:200:y:2017:i:2:p:251-259
    DOI: 10.1016/j.jeconom.2017.06.009
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    Cited by:

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    7. Milda Norkuté & Vasilis Sarafidis & Takashi Yamagata, 2018. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure," ISER Discussion Paper 1019, Institute of Social and Economic Research, Osaka University.
    8. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    9. Kuzman, Tanja & Lazarevic, Jelisaveta & Nedeljkovic, Milan, 2022. "Capital flows liberalisation and macroprudential policies: The effects on credit cycles in emerging economies," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 602-619.
    10. Yiren Wang & Peter C B Phillips & Liangjun Su, 2023. "Panel Data Models with Time-Varying Latent Group Structures," Papers 2307.15863, arXiv.org.
    11. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
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    14. Liu, Tuo & Xu, Xingbai & Lee, Lung-fei, 2022. "Consistency without compactness of the parameter space in spatial econometrics," Economics Letters, Elsevier, vol. 210(C).
    15. Guo, Juncong & Qu, Xi, 2020. "Fixed effects spatial panel data models with time-varying spatial dependence," Economics Letters, Elsevier, vol. 196(C).
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    19. Shiyun Cao & Yonghui Zhang & Qiankun Zhou, 2021. "2SLS and IV Estimation of Dynamic Panel Models with Heterogeneous Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1408-1431, December.

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