Consistent Estimation in Large Heterogeneous Panels with Multifactor Structure Endogeneity
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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.
创建时间：
2022-11-09
