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Analysis of interactive fixed effects dynamic linear panel regression with measurement error

Author

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  • Lee, Nayoung
  • Moon, Hyungsik Roger
  • Weidner, Martin

Abstract

This 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.

Suggested Citation

  • Lee, Nayoung & Moon, Hyungsik Roger & Weidner, Martin, 2012. "Analysis of interactive fixed effects dynamic linear panel regression with measurement error," Economics Letters, Elsevier, vol. 117(1), pages 239-242.
  • Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:239-242 DOI: 10.1016/j.econlet.2012.04.109
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    References listed on IDEAS

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    1. Christopher R. Bollinger & Amitabh Chandra, 2005. "Iatrogenic Specification Error: A Cautionary Tale of Cleaning Data," Journal of Labor Economics, University of Chicago Press, vol. 23(2), pages 235-258, April.
    2. Donald, Stephen G & Newey, Whitney K, 2001. "Choosing the Number of Instruments," Econometrica, Econometric Society, vol. 69(5), pages 1161-1191, September.
    3. Bound, John & Brown, Charles & Mathiowetz, Nancy, 2001. "Measurement error in survey data," Handbook of Econometrics,in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 59, pages 3705-3843 Elsevier.
    4. Moon, Hyungsik Roger & Weidner, Martin, 2017. "Dynamic Linear Panel Regression Models With Interactive Fixed Effects," Econometric Theory, Cambridge University Press, vol. 33(01), pages 158-195, February.
    5. Bonggeun Kim & Gary Solon, 2005. "Implications of Mean-Reverting Measurement Error for Longitudinal Studies of Wages and Employment," The Review of Economics and Statistics, MIT Press, vol. 87(1), pages 193-196, February.
    6. Jinyong Hahn & Guido Kuersteiner, 2002. "Asymptotically Unbiased Inference for a Dynamic Panel Model with Fixed Effects when Both "n" and "T" Are Large," Econometrica, Econometric Society, vol. 70(4), pages 1639-1657, July.
    7. Jushan Bai, 2009. "Panel Data Models With Interactive Fixed Effects," Econometrica, Econometric Society, vol. 77(4), pages 1229-1279, July.
    8. Chernozhukov, Victor & Hansen, Christian, 2008. "Instrumental variable quantile regression: A robust inference approach," Journal of Econometrics, Elsevier, vol. 142(1), pages 379-398, January.
    9. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 151(1), pages 1-16, July.
    10. Harding, Matthew & Lamarche, Carlos, 2011. "Least squares estimation of a panel data model with multifactor error structure and endogenous covariates," Economics Letters, Elsevier, vol. 111(3), pages 197-199, June.
    11. Chernozhukov, Victor & Hansen, Christian, 2006. "Instrumental quantile regression inference for structural and treatment effect models," Journal of Econometrics, Elsevier, vol. 132(2), pages 491-525, June.
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    Cited by:

    1. Lu, Xun & Su, Liangjun, 2016. "Shrinkage estimation of dynamic panel data models with interactive fixed effects," Journal of Econometrics, Elsevier, pages 148-175.
    2. Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
    3. Moon, Hyungsik Roger & Weidner, Martin, 2017. "Dynamic Linear Panel Regression Models With Interactive Fixed Effects," Econometric Theory, Cambridge University Press, vol. 33(01), pages 158-195, February.
    4. Galvao, Antonio F. & Wang, Liang, 2015. "Efficient minimum distance estimator for quantile regression fixed effects panel data," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 1-26.
    5. Alexander Chudik & M. Hashem Pesaran, 2013. "Large Panel Data Models with Cross-Sectional Dependence: A Survey," CESifo Working Paper Series 4371, CESifo Group Munich.
    6. Millimet, Daniel L. & McDonough, Ian K., 2013. "Dynamic Panel Data Models with Irregular Spacing: With Applications to Early Childhood Development," IZA Discussion Papers 7359, Institute for the Study of Labor (IZA).

    More about this item

    Keywords

    Dynamic panel; Interactive fixed effects; Measurement error; LS-MD estimation;

    JEL classification:

    • 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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