Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/186719 
Autor:innen: 
Erscheinungsjahr: 
1989
Schriftenreihe/Nr.: 
Working Paper No. 28
Verlag: 
Levy Economics Institute of Bard College, Annandale-on-Hudson, NY
Zusammenfassung: 
The covariance transformation is a useful and often necessary procedure to estimate the fixed effects model. When some explanatory variables are contemporaneously correlated with the disturbance term, the covariance transformation can be used in conjunction with an instrumental variables procedure to obtain a consistent estimator. This paper describes how to correctly compute the IV estimator as a two stage least squares estimator. In addition, I show that if the IV estimator is incorrectly computed using a two stage least squares approach where the covariance transformation is not applied until the second stage, the resulting estimator is not in general consistent.
Dokumentart: 
Working Paper

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