Many IVs estimation of dynamic panel regression models with measurement error

Nayoung Lee, Hyungsik Roger Moon, Qiankun Zhou

Research output: Contribution to journalArticle

3 Citations (Scopus)

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 [Formula presented] 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.

Original languageEnglish
Pages (from-to)251-259
Number of pages9
JournalJournal of Econometrics
Volume200
Issue number2
DOIs
Publication statusPublished - 2017 Oct

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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