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

Matthew Harding; Carlos Lamarche

doi:10.1016/j.econlet.2011.02.001

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

Matthew Harding, Carlos Lamarche

Research output: Contribution to journal › Article › peer-review

20 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 language	English
Pages (from-to)	197-199
Number of pages	3
Journal	Economics Letters
Volume	111
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2011.02.001
State	Published - Jun 2011

Keywords

Instrumental variables
Interactive fixed effects
Panel data

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2011.02.001

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title = "Least squares estimation of a panel data model with multifactor error structure and endogenous covariates",

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.",

keywords = "Instrumental variables, Interactive fixed effects, Panel data",

author = "Matthew Harding and Carlos Lamarche",

year = "2011",

month = jun,

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language = "English",

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AU - Lamarche, Carlos

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

Abstract

Keywords

ASJC Scopus subject areas

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