Consistent estimation of linear panel data models with measurement error

A-Tier
Journal: Journal of Econometrics
Year: 2017
Volume: 200
Issue: 2
Pages: 169-180

Authors (3)

Meijer, Erik (University of Southern Califor...) Spierdijk, Laura (not in RePEc) Wansbeek, Tom (not in RePEc)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:econom:v:200:y:2017:i:2:p:169-180
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-26