Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity

Giovanni Forchini, Bin Jiang () and Bin Peng ()

No 14/15, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

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.

Keywords: time series decomposition; seasonal data; Tikhonov regularisation; ridge regression; LASSO; STL; TBATS; X-12-ARIMA; BSM (search for similar items in EconPapers)
JEL-codes: C33 C36 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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