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

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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.

Original languageEnglish (US)
Pages (from-to)542-544
Number of pages3
JournalJournal of Econometrics
Volume185
Issue number2
DOIs
Publication statusPublished - Apr 1 2015

Keywords

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

ASJC Scopus subject areas

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

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