| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5096078 | Journal of Econometrics | 2015 | 10 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Seung C. Ahn,