INSTRUMENTAL VARIABLES ESTIMATION WITH PANEL DATA
研究了线性面板数据模型中系统两阶段最小二乘估计量因工具矩阵选择的不同特征，并讨论了更一般的估计量在工具变量数量随时间变化时的适用性及有效估计问题。
The system two stage least squares estimator for the linear panel data model is shown to have different characterizations depending on the choice of instrument matrix. The more general estimator, where, in effect, separate reduced form linear projections are estimated for each time period, also has the advantage of being applicable when the number of instruments changes across time periods. The issue of efficient estimation is also treated.