A SIMPLE EFFICIENT INSTRUMENTAL VARIABLE ESTIMATOR FOR PANEL AR(p) MODELS WHEN BOTHNANDTARE LARGE
针对面板AR(p)模型，提出一种工具变量估计量，其渐近分布与不可行的最优IV估计量相同，且在误差正态分布下渐近方差达到下界，适用于N和T都很大的情形。
In this paper, we show that for panel AR( p ) models, an instrumental variable (IV) estimator with instruments deviated from past means has the same asymptotic distribution as the infeasible optimal IV estimator when both N and T , the dimensions of the cross section and time series, are large. If we assume that the errors are normally distributed, the asymptotic variance of the proposed IV estimator is shown to attain the lower bound when both N and T are large. A simulation study is conducted to assess the estimator.