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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.

Suggested Citation

  • Wooldridge, Jeffrey M., 2005. "Instrumental Variables Estimation With Panel Data," Econometric Theory, Cambridge University Press, vol. 21(4), pages 865-869, August.
    • Handle: RePEc:cup:etheor:v:21:y:2005:i:04:p:865-869_05
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    1. Vossler, Christian A. & McKee, Michael & Bruner, David M., 2021. "Behavioral effects of tax withholding on tax compliance: Implications for information initiatives," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 301-319.
    2. Sharma, S. & Walters, C., 2018. "Influence of Farm and Lease Type on Crop Insurance Returns," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277399, International Association of Agricultural Economists.
    3. Crifo, Patricia & Diaye, Marc-Arthur & Oueghlissi, Rim, 2017. "The effect of countries’ ESG ratings on their sovereign borrowing costs," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 13-20.
    4. Rae Yule Kim, 2021. "When does online review matter to consumers? The effect of product quality information cues," Electronic Commerce Research, Springer, vol. 21(4), pages 1011-1030, December.
    5. Debarati Ghosh & Meghna Dutta, 2023. "Credit Constraints and Increased Firm-Level Production Fragmentation: Evidence from India," Global Journal of Emerging Market Economies, Emerging Markets Forum, vol. 15(1), pages 93-108, January.
    6. 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.
    7. M. A. Anderson & M. H. Davies & S. L. S. Smith, 2016. "Ethnic Networks and Price Dispersion," Review of International Economics, Wiley Blackwell, vol. 24(3), pages 514-535, August.
    8. Marta Spreafico, 2013. "Institutions, the resource curse and the transition economies: further evidence," DISCE - Quaderni del Dipartimento di Politica Economica ispe0064, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    9. Zafer Buyukkececi & Thomas Leopold & Ruben Gaalen & Henriette Engelhardt, 2020. "Family, Firms, and Fertility: A Study of Social Interaction Effects," Demography, Springer;Population Association of America (PAA), vol. 57(1), pages 243-266, February.
    10. Forchini Giovanni & Jiang Bin & Peng Bin, 2020. "Instrumental Variables Estimation in Large Heterogeneous Panels with Multifactor Structure," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-22, January.
    11. Jeffrey M. Wooldridge, 2015. "Control Function Methods in Applied Econometrics," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 420-445.
    12. Alcántar-Toledo, Javier & Venieris, Yannis P., 2014. "Fiscal policy, growth, income distribution and sociopolitical instability," European Journal of Political Economy, Elsevier, vol. 34(C), pages 315-331.
    13. Chenglin Gao & Takuji W. Tsusaka, 2023. "Economic Uncertainty and Firms’ Capital Structure: Evidence from China," Risks, MDPI, vol. 11(4), pages 1-23, March.
    14. Byaro, Mwoya & Mpeta, Daniel, 2021. "Secondary Education and its Effects on Child Health: Empirical Evidence from Sub-Saharan Africa," African Journal of Economic Review, African Journal of Economic Review, vol. 9(2), April.
    15. Christian Almer & Stefan Boes, 2012. "Climate (change) and conflict: resolving a puzzle of association and causation," Diskussionsschriften dp1203, Universitaet Bern, Departement Volkswirtschaft.
    16. Athira, A. & Lukose, P.J. Jijo, 2023. "Do common institutional owners' activisms deter tax avoidance? Evidence from an emerging economy," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    17. Peng Hou & Yilin Li & Yong Tan & Yuanjie Hou, 2020. "Energy Price and Energy Efficiency in China: A Linear and Nonlinear Empirical Investigation," Energies, MDPI, vol. 13(16), pages 1-24, August.
    18. Giovanni Forchini & Bin Jiang & Bin Peng, 2018. "TSLS and LIML Estimators in Panels with Unobserved Shocks," Econometrics, MDPI, vol. 6(2), pages 1-12, April.

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