A NOTE ON THE ANDERSON-HSIAO ESTIMATOR FOR PANEL DATA

Manuel Arellano

108 citations0/0 files storedRePEc: Research Papers in Economics

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Spatial and Panel Data Analysis Statistical Methods and Bayesian Inference Advanced Causal Inference Techniques

Abstract

Abstract The asymptotic variances of the IV estimators for dynamic panel data proposed by Anderson and Hsiao (1982) are obtained for some simple models. With an autoregressive exogenous variable, the estimator that uses differenced instruments has a singularity point and very large variances over a significant range of parameter values. On the contrary, the estimator that uses instruments in levels has no singularities and much smaller variances.

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