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Consistent estimation of linear panel data models with measurement error
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DOI：10.1016/j.jeconom.2017.06.003.png)
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摘要
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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.
Keyword:
Measurement error
Panel data
Third moments
Heteroskedasticity
GMM
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