PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS
弱工具变量与协方差约束下的面板结构建模
This paper considers estimating a panel data simultaneous equations model under both coefficient and covariance matrix restrictions in a scenario where one or the other set of identifying restrictions may be invalid or may hold only weakly. We study the limiting properties of various estimators in an asymptotic framework, which takes both the cross-sectional dimension N and the time dimension T to infinity. In this setting as in the pure cross-sectional setup, the…