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

Matthew Harding, Carlos Lamarche

Research output: Contribution to journalArticlepeer-review

22 Scopus citations

Abstract

We propose a method for estimating the slope parameter in an interactive effects panel data model with endogenous loadings and factors, and endogenous regressors.

Original languageEnglish
Pages (from-to)197-199
Number of pages3
JournalEconomics Letters
Volume111
Issue number3
DOIs
StatePublished - Jun 2011

Keywords

  • Instrumental variables
  • Interactive fixed effects
  • Panel data

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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