Instrumental variables estimation in large heterogeneous panels with multifactor structure

DOI10.1515/JEM-2018-0003zbMath1440.62383OpenAlexW2970394437MaRDI QIDQ2181488

Yanyan Li

Publication date: 19 May 2020

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jem-2018-0003

zbMATH Keywords

endogeneityinstrumental variables estimatorcommon correlated effects estimatorheterogeneous panelscommon correlated effects mean group estimatormultifactor structure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20) Causal inference from observational studies (62D20)

Cites Work

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• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Random Parameters in a Simultaneous Equation Framework: Identification and Estimation
• Panel Data Models With Interactive Fixed Effects
• Cross-Section Regression with Common Shocks
• The unconditional distributions of the OLS, TSLS and LIML estimators in a simple structural equations model
• LIML in the static linear panel data model

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