IDEAS home Printed from https://ideas.repec.org/h/pal/palchp/978-1-349-12221-9_13.html
   My bibliography  Save this book chapter

Simple Estimators for Dynamic Panel Data Models with Errors in Variables

In: Contributions to Consumer Demand and Econometrics

Author

Listed:
  • Tom Wansbeek
  • Arie Kapteyn

Abstract

The model considered in this chapter is a rather simple dynamic error components model. Models of this type have been studied by a number of authors, including Nerlove (1967, 1971), Trognon (1978), Anderson and Hsiao (1981), and Sevestre and Trognon (1985). Our assumptions will be fairly conventional, except for the fact that lagged endogenous or exogenous variables are allowed to suffer from measurement error. A variant of this model, not including error components, has been studied extensively in the literature, cf. Aigner et al. (1984). A full treatment of ML estimation in this so-called dynamic shock-error model has been given by Ghosh (1989). Grtliches and Hausman (1986) study another variant, namely a static panel data model with measurement error in the exogenous variables.

Suggested Citation

  • Tom Wansbeek & Arie Kapteyn, 1992. "Simple Estimators for Dynamic Panel Data Models with Errors in Variables," Palgrave Macmillan Books, in: Ronald Bewley & Tran Hoa (ed.), Contributions to Consumer Demand and Econometrics, chapter 13, pages 238-251, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-349-12221-9_13
    DOI: 10.1007/978-1-349-12221-9_13
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Ghosh, Damayanti, 1989. "Maximum likelihood estimation of the dynamic shock-error model," Journal of Econometrics, Elsevier, vol. 41(1), pages 121-143, May.
    2. Theil, Henri, 1983. "Linear algebra and matrix methods in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 1, pages 3-65, Elsevier.
    3. Kapteyn, Arie & de Zeeuw, Aart, 1991. "Changing incentives for economic research in the Netherlands," European Economic Review, Elsevier, vol. 35(2-3), pages 603-611, April.
    4. Sevestre, P. & Trognon, A., 1985. "A note on autoregressive error components models," Journal of Econometrics, Elsevier, vol. 28(2), pages 231-245, May.
    5. Nerlove, Marc, 1971. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections," Econometrica, Econometric Society, vol. 39(2), pages 359-382, March.
    6. Griliches, Zvi & Hausman, Jerry A., 1986. "Errors in variables in panel data," Journal of Econometrics, Elsevier, vol. 31(1), pages 93-118, February.
    7. Merckens, Arjen & Wansbeek, Tom, 1989. "Formula manipulation in statistics on the computer: Evaluating the expectation of higher-degree functions of normally distributed matrices," Computational Statistics & Data Analysis, Elsevier, vol. 8(2), pages 189-200, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Erik Meijer & Laura Spierdijk & Tom Wansbeek, 2012. "Point and Set Identification in Linear Panel Data Models with Measurement Error," Working Papers WR-941, RAND Corporation.
    2. Stefan Dercon & Pramila Krishnan, 2000. "In Sickness and in Health: Risk Sharing within Households in Rural Ethiopia," Journal of Political Economy, University of Chicago Press, vol. 108(4), pages 688-727, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tsai, Tsung-Han, 2016. "A Bayesian Approach to Dynamic Panel Models with Endogenous Rarely Changing Variables," Political Science Research and Methods, Cambridge University Press, vol. 4(3), pages 595-620, September.
    2. Alain Pirotte & Jesús Mur, 2017. "Neglected dynamics and spatial dependence on panel data: consequences for convergence of the usual static model estimators," Spatial Economic Analysis, Taylor & Francis Journals, vol. 12(2-3), pages 202-229, July.
    3. Nerlove, Marc, 1995. "Formulation and Estimation of Econometric Models for Panel Data," Working Papers 197824, University of Maryland, Department of Agricultural and Resource Economics.
    4. Hayakawa, Kazuhiko, 2024. "Recent development of covariance structure analysis in economics," Econometrics and Statistics, Elsevier, vol. 29(C), pages 31-48.
    5. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    6. Kiviet, Jan F., 1995. "On bias, inconsistency, and efficiency of various estimators in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 68(1), pages 53-78, July.
    7. Andrea Boitani & Marcella Nicolini & Carlo Scarpa, 2013. "Do competition and ownership matter? Evidence from local public transport in Europe," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1419-1434, April.
    8. Hanson, Gordon H., 2001. "U.S.-Mexico Integration and Regional Economies: Evidence from Border-City Pairs," Journal of Urban Economics, Elsevier, vol. 50(2), pages 259-287, September.
    9. Swarnjit Arora, 1973. "Error Components Regression Models and Their Applications," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 2, number 4, pages 451-461, National Bureau of Economic Research, Inc.
    10. Mario Jametti & Thomas von Ungern-Sternberg, 2005. "Assessing the Efficiency of an Insurance Provider—A Measurement Error Approach," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(1), pages 15-34, June.
    11. Tybout, James R. & Westbrook, M. Daniel, 1995. "Trade liberalization and the dimensions of efficiency change in Mexican manufacturing industries," Journal of International Economics, Elsevier, vol. 39(1-2), pages 53-78, August.
    12. Daron Acemoglu & Amy Finkelstein, 2008. "Input and Technology Choices in Regulated Industries: Evidence from the Health Care Sector," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 837-880, October.
    13. Imam, M. & Jamasb, T. & Llorca, M. & Llorca, M., 2018. "Power Sector Reform and Corruption: Evidence from Electricity Industry in Sub-Saharan Africa," Cambridge Working Papers in Economics 1801, Faculty of Economics, University of Cambridge.
    14. Castelló-Climent, Amparo & Mukhopadhyay, Abhiroop, 2013. "Mass education or a minority well educated elite in the process of growth: The case of India," Journal of Development Economics, Elsevier, vol. 105(C), pages 303-320.
    15. K. William Easter & Martin E. Abel & George Norton, 1977. "Regional Differences in Agricultural Productivity in Selected Areas of India," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 59(2), pages 257-265.
    16. Burks, Stephen V & Guy, Frederick & Maxwell, Benjamin, 2004. "7. Shifting Gears In The Corner Office: Deregulation And The Earnings Of Trucking Executives," Research in Transportation Economics, Elsevier, vol. 10(1), pages 137-164, January.
    17. Van Soest, Arthur & Kooreman, Peter, 1990. "Coherency of the indirect translog demand system with binding nonnegativity constraints," Journal of Econometrics, Elsevier, vol. 44(3), pages 391-400, June.
    18. Prasanna Tambe & Lorin M. Hitt, 2014. "Measuring Information Technology Spillovers," Information Systems Research, INFORMS, vol. 25(1), pages 53-71, March.
    19. Klette, Tor Jakob & Griliches, Zvi, 1996. "The Inconsistency of Common Scale Estimators When Output Prices Are Unobserved and Endogenous," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 343-361, July-Aug..
    20. Andrea Leiter & Engelbert Theurl, 2012. "The convergence of health care financing structures: empirical evidence from OECD-countries," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 13(1), pages 7-18, February.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palchp:978-1-349-12221-9_13. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.