Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure and Endogeneity

Giovanni Forchini, Bin Jiang and Bin Peng
Additional contact information
Bin Jiang: Monash University
Bin Peng: University of Technology, Sydney

No 315, School of Economics Discussion Papers from School of Economics, University of Surrey

Abstract: The set-up considered by Pesaran (Econometrica, 2006) is extended to allow for endogenous explanatory variables. A class of instrumental variables estimators is studied and it is shown that estimators in this class are consistent and asymptotically normally distributed as both the cross-section and time-series dimensions tend to infinity.

Pages: 28 pages
Date: 2015-07
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0315

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