Arellano, M. and Bover, O. (1990) Another look at the instrumental variable estimation of error-components models. CEP Discussion Papers (CEPDP0007). London School of Economics and Political Science. Centre for Economic Performance, London, UK.
Full text not available from this repository.Abstract
This article develops a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables. Our formulation clarifies the relationship between the existing estimators and the role of transformation in panel data models. We characterise the valid transformations for relevant models and show the optimal estimators are invariant to the transformation used to remove individual effects. We present an alternative transformation for models with predetermined instruments which preserves the orthogonality among the errors. Finally, we consider models with predetermined variables that have constant correlation with effects and illustrate their importance with simulations.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://cep.lse.ac.uk |
| Additional Information: | © 1990 The Authors |
| Divisions: | Centre for Economic Performance |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 22 Aug 2008 09:45 |
| Last Modified: | 11 Dec 2024 18:17 |
| URI: | http://eprints.lse.ac.uk/id/eprint/21135 |
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