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Some remarks on measurement errors and the identification of panel data models

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  • C. Hsiao
  • G. Taylor

Abstract

We demonstrate that despite the common worry about the possible correlations between the unobserved individual effects and the explanatory variables in panel data models the likelihood approach can provide a unified framework towards the study of the identification of a panel data model subject to measurement errors. In fact, it can also serve as a basis for deriving efficient estimation methods.

Suggested Citation

  • C. Hsiao & G. Taylor, 1991. "Some remarks on measurement errors and the identification of panel data models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 45(2), pages 187-194, June.
    • Handle: RePEc:bla:stanee:v:45:y:1991:i:2:p:187-194
    DOI: 10.1111/j.1467-9574.1991.tb01303.x
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    Cited by:

    1. Yun Song & Hongqu He & Caiyu Yan, 2022. "Impacts of top management team fault‐line on firm's innovation—Financial slack over‐investment and underinvestment," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 3348-3360, December.
    2. Galvao Jr, A. F. & Montes-Rojas, G., 2009. "Instrumental variables quantile regression for panel data with measurement errors," Working Papers 09/06, Department of Economics, City University London.
    3. Gerd Ronning & Hans Schneeweiss, 2009. "Panel Regression with Random Noise," CESifo Working Paper Series 2608, CESifo.
    4. Ramses ABUL NAGA & Jaya KRISHNAKUMAR, 1999. "Panel Data Estimation of the Intergenerational Correlation of Incomes," Cahiers de Recherches Economiques du Département d'économie 9910, Université de Lausanne, Faculté des HEC, Département d’économie.
    5. Wegge, Leon L., 1996. "Local identifiability of the factor analysis and measurement error model parameter," Journal of Econometrics, Elsevier, vol. 70(2), pages 351-382, February.
    6. Ramses Abul Naga, 2008. "Biases of the ordinary least squares and instrumental variables estimators of the intergenerational earnings elasticity: Revisited in the light of panel data," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 6(4), pages 323-350, December.
    7. Ronning, Gerd & Schneeweiss, Hans, 2011. "Panel regression with multiplicative measurement errors," Economics Letters, Elsevier, vol. 110(2), pages 136-139, February.

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