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

Research output: Contribution to journalArticle

  • 2 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.

LanguageEnglish (US)
Pages542-544
Number of pages3
JournalJournal of Econometrics
Volume185
Issue number2
DOIs
StatePublished - Apr 1 2015

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Instrumental Variables
Identification Problem
Identification (control systems)
Model
Factors
Instrumental variables
IV estimation
Panel model
Identification problem

Keywords

  • Factor models
  • Panel data
  • Time-varying individual effects

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics
  • History and Philosophy of Science

Cite this

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

In: Journal of Econometrics, Vol. 185, No. 2, 01.04.2015, p. 542-544.

Research output: Contribution to journalArticle

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