GMM estimation in panel data models with measurement error

T.J. Wansbeek

GMM estimation in panel data models with measurement error

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42 Citaten (Scopus)

Samenvatting

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.

Originele taal-2	Dutch
Pagina's (van-tot)	259-268
Aantal pagina's	10
Tijdschrift	Journal of Econometrics
Volume	104
Nummer van het tijdschrift	2
Status	Published - sep.-2001

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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.",

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KW - GMM

KW - measurement error

KW - Tobin's q

KW - weak exogeneity

KW - weak instruments

KW - SERIAL-CORRELATION

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KW - INVESTMENT

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