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Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component

Published online by Cambridge University Press:  11 February 2009

Donald J. Wyhowski
Donald J. Wyhowski
Affiliation:
State University of New York at Albany
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Abstract

In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent estimates of the variance components are discussed.

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Type
Articles
Information
Econometric Theory , Volume 10 , Issue 1 , March 1994, pp. 130 - 139
Copyright
Copyright © Cambridge University Press 1994

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