Consistent Estimation of Linear Panel Data Models with Measurement Error

53 Pages Posted: 9 Dec 2014 Last revised: 10 Dec 2014

See all articles by Erik Meijer

Erik Meijer

University of Southern California; RAND Corporation

Laura Spierdijk

University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section

Tom Wansbeek

University of Groningen - Faculty of Economics and Business

Multiple version iconThere are 2 versions of this paper

Date Written: December 1, 2014

Abstract

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.

Keywords: measurement error; panel data; third moments; heteroskedasticity; GMM

JEL Classification: C23, C26

Suggested Citation

Meijer, Erik and Spierdijk, Laura and Wansbeek, Tom, Consistent Estimation of Linear Panel Data Models with Measurement Error (December 1, 2014). CESR-Schaeffer Working Paper No. 2014-008, Available at SSRN: https://ssrn.com/abstract=2535460 or http://dx.doi.org/10.2139/ssrn.2535460

Erik Meijer

University of Southern California ( email )

635 Downey Way
Los Angeles, CA 90089-3332
United States

RAND Corporation ( email )

1776 Main Street
P.O. Box 2138
Santa Monica, CA 90407-2138
United States

Laura Spierdijk (Contact Author)

University of Twente - Department of Behavioural, Management and Social Sciences - Financial Engineering section ( email )

Hallenweg 17
Enschede, 7522NH
Netherlands

Tom Wansbeek

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
63
Abstract Views
589
Rank
304,407
PlumX Metrics