Instrument relevance and efficient estimation with panel data

Rachid Boumahdi (1) , Alban Thomas (2)

1 LIRHE - Laboratoire Interdisciplinaire de recherche sur les Ressources Humaines et l'Emploi
2 LERNA - Economie des Ressources Naturelles

This paper presents a straightforward efficiency gain measure of instrumental variable estimators for panel data regression models. Contrary to the usual canonical correlation applied to the full set of endogenous regressors, we allow for measuring instrument relevance for separate endogenous regressors

Mots clés: ESTIMATION theory; MATHEMATICAL statistics; REGRESSION analysis; CANONICAL correlation (Statistics); VARIABLES (Mathematics)

Domaines: Economies et finances

Rachid Boumahdi, Alban Thomas. Instrument relevance and efficient estimation with panel data. Economic Letters, 2006, 93 (2), pp.305-310. ⟨halshs-00131827⟩