Variable Differencing and GMM Estimation with Panel Data with Errors-In-Variables

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Variable Differencing and GMM Estimation with Panel Data with Errors-In-Variables

Author Info

Biorn, E.
Klette, T.J.

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Abstract

Procedures for estimating a linear single-equation model by means of panel data with errors-in-variables are considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods. The differenced equations can be estimated by using as instruments for the differenced error-ridden regressor, level values of this regressor (both leads and lags). General Method of Moments (GMM) procedures for the complete system of differenced equations are considered.

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Publisher Info
Paper provided by Oslo University, Department of Economics in its series Memorandum with number 16/1997.

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Length: 40 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:hhs:osloec:1997_016

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Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway
Phone: 22 85 51 27
Fax: 22 85 50 35
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Web page: http://www.oekonomi.uio.no/indexe.html
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Related research
Keywords: MATHEMATICS ; MODELS ; EVALUATION;

Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

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This page was last updated on 2009-12-22.

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