Consistent Estimation of Linear Panel Data Models with Measurement Error

Erik Meijer, Laura Spierdijk and Tom J. Wansbeek

No 5164, CESifo Working Paper Series from CESifo

Abstract: Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources of moment conditions: (i) restrictions on the intertemporal covariance matrix of the errors in the equations, (ii) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation, and (iii) nonzero third moments of the covariates. In a simulation study we show that these approaches work well.

Keywords: measurement error; panel data; third moments; heteroskedasticity; GMM (search for similar items in EconPapers)
JEL-codes: C23 C26 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Consistent estimation of linear panel data models with measurement error (2017)
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