Consistent estimation of linear panel data models with measurement error

Erik Meijer, Laura Spierdijk and Tom Wansbeek

Journal of Econometrics, 2017, vol. 200, issue 2, 169-180

Abstract: Measurement error causes a bias towards zero when estimating a panel data linear regression model. The panel data context offers various opportunities to derive instrumental variables allowing for consistent estimation. We consider three sources of moment conditions: (i) restrictions on the covariance matrix of the errors in the equations, (ii) nonzero third moments of the regressors, and (iii) heteroskedasticity and nonlinearity in the relation between the error-ridden regressor and another, error-free, regressor. In simulations, these approaches appear to work well.

Keywords: Measurement error; Panel data; Third moments; Heteroskedasticity; GMM (search for similar items in EconPapers)
JEL-codes: C23 C26 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Consistent Estimation of Linear Panel Data Models with Measurement Error (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:200:y:2017:i:2:p:169-180

DOI: 10.1016/j.jeconom.2017.06.003

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