Article ID Journal Published Year Pages File Type
5062295 Economics Letters 2006 6 Pages PDF
Abstract

This paper presents a straightforward efficiency gain measure of instrumental variable estimators for panel data regression models. Contrary to the usual canonical correlation applied to the full set of endogenous regressors, we allow for measuring instrument relevance for separate endogenous regressors.

Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Instrument relevance and efficient estimation with panel data
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