Compare with ols estimates of the differenced model

Reference no: EM131248290

Consider the model and data of section 9.4, except consider the case of just one lagged dependent variable. Throughout, estimate the parameters of the models with the noconstant option. Consider estimation of the dynamic model viz = ce,-1-1Yit-i+em, when T = 7, where sit are serially uncorrelated. Explain why OLS

to inconsistent estimation of 71. Propose an Iv estimator of the preceding model where there is just one instrument. Implement this just-identified iv estimator using the data on luage and the ivregress command. Obtain cluster-robust standard errors. Compare with OLS estimates of the differenced model.

Reference no: EM131248290

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