Covariance Structure Analysis of Panel Regression Models

Professor, Graduate School of Social Sciences, Hiroshima University.

Upload/File/2018/11/20181105104116297.pdf

This paper proposes an ML estimator for short panel data models with interactive fixed effects and endogenous variables. We show that such a model can be analysed in terms of covariance structure analysis. Monte Carlo simulation results show that the proposed ML estimator outperforms the GMM estimator.