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Instrument relevance and efficient estimation with panel data

Author

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  • Rachid Boumahdi

    (LIRHE - Laboratoire Interdisciplinaire de recherche sur les Ressources Humaines et l'Emploi - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique)

  • Alban Thomas

    (LERNA - Economie des Ressources Naturelles - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - CEA - Commissariat à l'énergie atomique et aux énergies alternatives)

Abstract

This paper presents a straightforward efficiency gain measure of instrumental variable estimators for panel data regression models. Contrary to the usual canonical correlation applied to the full set of endogenous regressors, we allow for measuring instrument relevance for separate endogenous regressors

Suggested Citation

  • Rachid Boumahdi & Alban Thomas, 2006. "Instrument relevance and efficient estimation with panel data," Post-Print halshs-00131827, HAL.
    • Handle: RePEc:hal:journl:halshs-00131827
    as

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    References listed on IDEAS

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    1. Hausman, Jerry A & Taylor, William E, 1981. "Panel Data and Unobservable Individual Effects," Econometrica, Econometric Society, vol. 49(6), pages 1377-1398, November.
    2. Cornwell, Christopher & Rupert, Peter, 1988. "Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 149-155, April.
    3. Amemiya, Takeshi & MaCurdy, Thomas E, 1986. "Instrumental-Variable Estimation of an Error-Components Model," Econometrica, Econometric Society, vol. 54(4), pages 869-880, July.
    4. Leslie G. Godfrey, 1999. "Instrument Relevance in Multivariate Linear Models," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 550-552, August.
    5. Baltagi, Badi H & Khanti-Akom, Sophon, 1990. "On Efficient Estimation with Panel Data: An Empirical Comparison of Instrumental Variables Estimators," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(4), pages 401-406, Oct.-Dec..
    6. John Shea, 1997. "Instrument Relevance in Multivariate Linear Models: A Simple Measure," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 348-352, May.
    7. Breusch, Trevor S & Mizon, Grayham E & Schmidt, Peter, 1989. "Efficient Estimation Using Panel Data," Econometrica, Econometric Society, vol. 57(3), pages 695-700, May.
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    Cited by:

    1. Aysan Sentürk, 2007. "A Study on the Relationship between Shares and Inflation, Exchange Rates and Interest Rates with the use OF Canonical Correlation Analysis," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 43-64.
    2. Jean-Bernard Chatelain & Kirsten Ralf, 2010. "Inference on Time-Invariant Variables using Panel Data: A Pre-Test Estimator with an Application to the Returns to Schooling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00492039, HAL.

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