Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/90715 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
Memorandum No. 27/2012
Verlag: 
University of Oslo, Department of Economics, Oslo
Zusammenfassung: 
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds of estimators are compared with respect to bias, instrument (IV) validity and model fit: equation in differences/IVs levels, equation in levels/IVs in differences. We discuss the impact on estimators' bias and other properties of their distributions of changes in the signal-noise variance ratio, the length of the signal and noise memory, the strength of autocorrelation, the size of the IV set, and the panel length. Finally, some practical guidelines are provided.
Schlagwörter: 
Panel data
Measurement error
ARMA model
GMM
Signal-noise ratio
Error memory
IV validity
Monte Carlo simulation
Finite sample bias
JEL: 
C21
C23
C31
C33
Dokumentart: 
Working Paper

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