Many IVs Estimation of Dynamic Panel Regression Models with Measurement Error

61 Pages Posted: 8 Aug 2015  

Nayoung Lee

Seoul National University

Hyungsik Roger Moon

University of Southern California - Department of Economics; USC Dornsife Institute for New Economic Thinking

Qiankun Zhou

Binghamton University

Date Written: August 6, 2015

Abstract

In this paper we investigate a dynamic linear panel regression model with measurement error. We consider the panel data estimation whose time dimension (T) is not small and comparable to the cross sectional dimension (N). First, we show that the 2SLS estimator suffers from the bias problem due to many instrumental variables. Using the alternative asymptotics where (T^3)/N goes to a constant as N, T → ∞, we characterize its asymptotic bias due to many IVs. As a bias reduction method, we investigate the JIVE and derive its limiting distribution under the alternative asymptotics.

Keywords: Dynamic Panel Regression, Measurement Error, Many IVs, JIVE

Suggested Citation

Lee, Nayoung and Moon, Hyungsik Roger and Zhou, Qiankun, Many IVs Estimation of Dynamic Panel Regression Models with Measurement Error (August 6, 2015). USC-INET Research Paper No. 15-20. Available at SSRN: https://ssrn.com/abstract=2639869 or http://dx.doi.org/10.2139/ssrn.2639869

Nayoung Lee

Seoul National University ( email )

Kwanak-gu
Seoul, 151-742
Korea, Republic of (South Korea)

Hyungsik Roger Moon (Contact Author)

University of Southern California - Department of Economics ( email )

KAP 300
Los Angeles, CA 90089-0253
United States
213-740-2108 (Phone)
213-740-8543 (Fax)

USC Dornsife Institute for New Economic Thinking ( email )

3620 S. Vermont Avenue, KAP 364F
Los Angeles, CA 90089-0253
United States

Qiankun Zhou

Binghamton University ( email )

PO Box 6001
Binghamton, NY 13902-6000
United States

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