Many IVs estimation of dynamic panel regression models with measurement error

Document Type

Article

Publication Date

10-1-2017

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.

Publication Source (Journal or Book title)

Journal of Econometrics

First Page

251

Last Page

259

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