Consistent estimation of linear panel data models with measurement error

Erik Meijer, Laura Spierdijk*, Thomas Wansbeek

*Corresponding author voor dit werk

OnderzoeksoutputAcademicpeer review

11 Citaten (Scopus)
109 Downloads (Pure)

Samenvatting

Measurement error causes a bias towards zero when estimating a panel data linear regression model. The panel data context offers various opportunities to derive instrumental variables allowing for consistent estimation. We consider three sources of moment conditions: (i) restrictions on the covariance matrix of the errors in the equations, (ii) nonzero third moments of the regressors, and (iii) heteroskedasticity and nonlinearity in the relation between the error-ridden regressor and another, error-free, regressor. In simulations, these approaches appear to work well. (C) 2017 Elsevier B.V. All rights reserved.

Originele taal-2English
Pagina's (van-tot)169-180
Aantal pagina's12
TijdschriftJournal of Econometrics
Volume200
Nummer van het tijdschrift2
DOI's
StatusPublished - okt.-2017

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