Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component
解释变量与双向误差分量相关时的面板模型估计
In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent…