GMM estimation in panel data models with measurement error

DOI10.1016/S0304-4076(01)00079-3zbMath1003.62096OpenAlexW2096145872MaRDI QIDQ5952953

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

generalized method of momentspanel datameasurement errorGMMTobin's qweak exogenityweak instruments

Mathematics Subject Classification ID

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

Related Items (10)

Efficient GMM estimation with singular system of moment conditions ⋮ Consistent estimation of linear panel data models with measurement error ⋮ Many IVs estimation of dynamic panel regression models with measurement error ⋮ Estimation with unbalanced panel data having covariate measurement error ⋮ Bias corrected generalized method of moments and generalized quasi-likelihood inferences in linear models for panel data with measurement error ⋮ Panel regression with multiplicative measurement errors ⋮ GMM in linear regression for longitudinal data with multiple covariates measured with error ⋮ Inferences in longitudinal count data models with measurement errors in time dependent covariates ⋮ A Monte Carlo study of growth regressions ⋮ MEASUREMENT ERRORS IN DYNAMIC MODELS

Cites Work

• Redundancy of moment conditions
• Measurement error in a single regressor
• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
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