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Simple Estimators for Dynamic Panel Data Models with Errors in Variables

In: Contributions to Consumer Demand and Econometrics

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  • 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
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    1. 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.
    2. Sevestre, P. & Trognon, A., 1985. "A note on autoregressive error components models," Journal of Econometrics, Elsevier, vol. 28(2), pages 231-245, May.
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    Cited by:

    1. 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.

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