Estimation of a Panel Data Model in the Presence of Correlation Between Regressors and a Two-Way Error Component
针对回归元与双向误差分量相关的情况，推导了广义Hausman-Taylor模型的工具变量估计量，并扩展了Breusch-Mizon-Schmidt方法，证明了估计量的一致性和渐近正态性。
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 estimates of the variance components are discussed.