Comment on 'IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis

Seung Ahn

doi:10.1016/j.jeconom.2014.12.002

Comment on 'IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis

Seung Ahn

Economics

Research output: Contribution to journal › Comment/debate › peer-review

2 Scopus citations

Abstract

This comment discusses two issues related to the paper by Robertson and Sarafidis (2014, hereafter RS). The first issue is the potential incidental parameters problem that may arise when data are cross-sectionally heteroskedastic. The second issue is an identification problem in the estimation of panel models with weakly exogenous instrumental variables.

Original language	English (US)
Pages (from-to)	542-544
Number of pages	3
Journal	Journal of Econometrics
Volume	185
Issue number	2
DOIs	https://doi.org/10.1016/j.jeconom.2014.12.002
State	Published - Apr 1 2015

Keywords

Factor models
Panel data
Time-varying individual effects

ASJC Scopus subject areas

Economics and Econometrics

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10.1016/j.jeconom.2014.12.002

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abstract = "This comment discusses two issues related to the paper by Robertson and Sarafidis (2014, hereafter RS). The first issue is the potential incidental parameters problem that may arise when data are cross-sectionally heteroskedastic. The second issue is an identification problem in the estimation of panel models with weakly exogenous instrumental variables.",

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AB - This comment discusses two issues related to the paper by Robertson and Sarafidis (2014, hereafter RS). The first issue is the potential incidental parameters problem that may arise when data are cross-sectionally heteroskedastic. The second issue is an identification problem in the estimation of panel models with weakly exogenous instrumental variables.

KW - Factor models

KW - Panel data

KW - Time-varying individual effects

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Comment on 'IV estimation of panels with factor residuals' by D. Robertson and V. Sarafidis

Abstract

Keywords

ASJC Scopus subject areas

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