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Panel Regression with Random Noise

Author

Listed:
  • Gerd Ronning
  • Hans Schneeweiss

Abstract

The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct consistent and asymptotically normal estimators. In addition, we find estimates for the asymptotic variances of these estimators. The paper focuses on multiplicative errors, which are often deliberately added to the data in order to minimize their disclosure risk. They can be analyzed in a similar way as additive errors, but with some important and consequential differences.

Suggested Citation

  • Gerd Ronning & Hans Schneeweiss, 2009. "Panel Regression with Random Noise," CESifo Working Paper Series 2608, CESifo.
    • Handle: RePEc:ces:ceswps:_2608
    as

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    File URL: https://www.cesifo.org/DocDL/cesifo1_wp2608.pdf
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    References listed on IDEAS

    as
    1. Lin, An-loh, 1989. "Estimation of multiplicative measurement-error models and some simulation results," Economics Letters, Elsevier, vol. 31(1), pages 13-20.
    2. Wansbeek, Tom, 2001. "GMM estimation in panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 104(2), pages 259-268, September.
    3. Griliches, Zvi & Hausman, Jerry A., 1986. "Errors in variables in panel data," Journal of Econometrics, Elsevier, vol. 31(1), pages 93-118, February.
    4. 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.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    panel regression; multiplicative measurement errors; bias correction; asymptotic variance; disclosure control;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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