Analysis of interactive fixed effects dynamic linear panel regression with measurement error
AbstractThis paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 117 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Dynamic panel; Interactive fixed effects; Measurement error; LS-MD estimation;
Other versions of this item:
- Nayoung Lee & Hyungsik Roger Moon & Martin Weidner, 2011. "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," CeMMAP working papers CWP37/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
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