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Working Paper
An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
This paper introduces the idea of self-instrumenting endogenous regressors in settings when the correlation between these regressors and the errors can be derived and used to bias-correct the moment conditions. The resulting bias-corrected moment conditions are less likely to be subject to the weak instrument problem and can be used on their own and/or augmented with other available moment conditions (if any) to obtain more efficient estimators. This approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. This paper focuses on the latter, ...
Working Paper
An Augmented Anderson-Hsiao Estimator for Dynamic Short-T Panels
This paper introduces the idea of self-instrumenting endogenous regressors in settings when the correlation between these regressors and the errors can be derived and used to bias-correct the moment conditions. The resulting bias-corrected moment conditions are less likely to be subject to the weak instrument problem and can be used on their own or in conjunction with other available moment conditions to obtain more efficient estimators. This approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. This paper focuses on the latter, and ...