GMM estimation in panel data models with measurement error

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Abstract

Griliches and Hausman (J. Econom. 32 (1986) 93) have introduced GMM estimation in panel data models with measurement error. We present a simple, systematic approach to derive moment conditions for such models under a variety of assumptions. (C) 2001 Elsevier Science S.A. All rights reserved.

Original languageDutch
Pages (from-to)259-268
Number of pages10
JournalJournal of Econometrics
Volume104
Issue number2
Publication statusPublished - Sep-2001

Keywords

  • panel data
  • GMM
  • measurement error
  • Tobin's q
  • weak exogeneity
  • weak instruments
  • SERIAL-CORRELATION
  • INSTRUMENTS
  • INVESTMENT

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