Panel Structural Modeling with Weak Instrumentation and Covariance Restrictions
John C. Chao ,
4
( 30 )
Econometric Theory
839-881
August
2014
Abstract

This paper considers estimating a panel data simultaneous equations model under both coefficient and covariance matrix restrictions in a scenario where one or the other set of identifying restrictions may be invalid or may hold only weakly. We study the limiting properties of various estimators in an asymptotic framework, which takes both the cross-sectional dimension N and the time dimension T to infinity.

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