GMM estimation in panel data models with measurement error

DOI10.1016/S0304-4076(01)00079-3MaRDI QIDQ5952953zbMATH OpenOpenAlexFDO

Authors Tom Wansbeek

Publication date 2 February 2003

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00079-3

zbMATH Keywords

measurement errorpanel datageneralized method of momentsweak instrumentsGMMTobin's qweak exogenity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 762922 (Why is no real title available?)
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Measurement error and latent variables in econometrics
• Measurement error in a single regressor
• Redundancy of moment conditions
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator

Cited in

(13)

• Consistent estimation of linear panel data models with measurement error
• Many IVs estimation of dynamic panel regression models with measurement error
• Efficiency of GMM estimation in panel data models with measurement error
• Bias corrected generalized method of moments and generalized quasi-likelihood inferences in linear models for panel data with measurement error
• Measurement errors in dynamic models
• Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
• GMM in linear regression for longitudinal data with multiple covariates measured with error
• Estimation with unbalanced panel data having covariate measurement error
• Efficient GMM estimation with singular system of moment conditions
• Panel regression with multiplicative measurement errors
• Inferences in longitudinal count data models with measurement errors in time dependent covariates
• A Monte Carlo study of growth regressions
• Instrumental variable and GMM estimation for panel data with measurement error

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