The paper proposes new instrumental variables estimators for the slope parameters of a panel data model with classical endogeneity in which all the observables-including the instruments-may have a common factors structure. These estimators are shown to be consistent and asymptotically normal under weak regularity conditions. A small Monte Carlo simulation shows that these estimators compare favourably to existing estimators.
- common correlated effects estimator
- common correlated effects mean group estimator
- heterogeneous panels
- instrumental variables estimator
- multifactor structure