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Least squares estimation of a panel data model with multifactor error structure and endogenous covariates

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  • Harding, Matthew
  • Lamarche, Carlos

Abstract

We propose a method for estimating the slope parameter in an interactive effects panel data model with endogenous loadings and factors, and endogenous regressors.

Suggested Citation

  • Harding, Matthew & Lamarche, Carlos, 2011. "Least squares estimation of a panel data model with multifactor error structure and endogenous covariates," Economics Letters, Elsevier, vol. 111(3), pages 197-199, June.
    • Handle: RePEc:eee:ecolet:v:111:y:2011:i:3:p:197-199
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    References listed on IDEAS

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    1. M. Hashem Pesaran, 2006. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," Econometrica, Econometric Society, vol. 74(4), pages 967-1012, July.
    2. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, July.
    3. Cecilia Elena Rouse, 1998. "Private School Vouchers and Student Achievement: An Evaluation of the Milwaukee Parental Choice Program," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(2), pages 553-602.
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