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Title:Panel regression with random noise PDF Logo
Authors:Ronning, Gerd
Schneeweiss, Hans
Issue Date:2009
Series/Report no.:CESifo working paper 2608
Abstract:The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct consistent and asymptotically normal estimators. In addition, we find estimates for the asymptotic variances of these estimators. The paper focuses on multiplicative errors, which are often deliberately added to the data in order to minimize their disclosure risk. They can be analyzed in a similar way as additive errors, but with some important and consequential differences.
Subjects:Panel regression
multiplicative measurement errors
bias correction
asymptotic variance
disclosure control
JEL:C13
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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