Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107321
Authors: 
Meijer, Erik
Spierdijk, Laura
Wansbeek, Tom J.
Year of Publication: 
2015
Series/Report no.: 
CESifo Working Paper 5164
Abstract: 
Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources of moment conditions: (i) restrictions on the intertemporal covariance matrix of the errors in the equations, (ii) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation, and (iii) nonzero third moments of the covariates. In a simulation study we show that these approaches work well.
Subjects: 
measurement error
panel data
third moments
heteroskedasticity
GMM
JEL: 
C23
C26
Document Type: 
Working Paper

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