GMM estimation in panel data models with measurement error

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

Tom Wansbeek

Publication date: 2 February 2003

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

zbMATH Keywords

generalized method of moments; panel data; measurement error; GMM; Tobin's q; weak exogenity; weak instruments

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

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

Cites Work

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• Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator
• Alternative Approximations to the Distributions of Instrumental Variable Estimators