Instrument relevance and efficient estimation with panel data

Rachid Boumahdi () and Alban Thomas
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Rachid Boumahdi: LIRHE - Laboratoire Interdisciplinaire de recherche sur les Ressources Humaines et l'Emploi - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - CNRS - Centre National de la Recherche Scientifique

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Abstract: This paper presents a straightforward efficiency gain measure of instrumental variable estimators for panel data regression models. Contrary to the usual canonical correlation applied to the full set of endogenous regressors, we allow for measuring instrument relevance for separate endogenous regressors

Keywords: ESTIMATION theory; MATHEMATICAL statistics; REGRESSION analysis; CANONICAL correlation (Statistics); VARIABLES (Mathematics) (search for similar items in EconPapers)
Date: 2006-11-01
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Citations: View citations in EconPapers (2)

Published in Economic Letters, 2006, 93 (2), pp.305-310

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Journal Article: Instrument relevance and efficient estimation with panel data (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00131827

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