Erschienen in:CESifo Working Paper Series ; No. 5164
Umfang:
1 Online-Ressource (53 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2555580
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 26, 2015 erstellt
Beschreibung:
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