Least squares estimation of a panel data model with multifactor error structure and endogenous covariates

Economics Letters

Volumn 111, Issue 3, 2011, Pages 197-199

  Harding, Matthew ^a   Lamarche, Carlos ^b  

^a STANFORD UNIVERSITY   (United States)

^b UNIVERSITY OF OKLAHOMA   (United States)

Author keywords

Instrumental variables; Interactive fixed effects; Panel data

Indexed keywords

EID: 79953649578     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2011.02.001     Document Type: Article

References (4)

1. Bai J. Panel data models with interactive fixed effects. Econometrica 2009, 77(4):1229-1279.
2. Harding, M., and K. K. Nair (2009): "Estimating the Number of Factors and Lags in High-Dimensional Dynamic Factor Models", mimeo.
3. Pesaran M.H. Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 2006, 74(4):967-1012.
4. Rouse C. Private school vouchers and student achievement: an evaluation of the Milwaukee parental choice program". Quarterly Journal of Economics 1998, 553-602.