Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure

DOI10.1016/j.jeconom.2020.04.008zbMath1464.62518OpenAlexW2790891446MaRDI QIDQ2224986

Takashi Yamagata, Guowei Cui, Milda Norkutė, Vasilis Sarafidis

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.monash.edu/business/ebs/research/publications/ebs/wp32-2019.pdf

zbMATH Keywords

dynamic panel datamethod of momentsfactor modelcross-sectional dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

An incidental parameters free inference approach for panels with common shocks ⋮ Estimation and inference in heterogeneous spatial panels with a multifactor error structure ⋮ Linear panel regressions with two-way unobserved heterogeneity ⋮ A Robust Approach to Heteroscedasticity, Error Serial Correlation and Slope Heterogeneity in Linear Models with Interactive Effects for Large Panel Data

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