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Point and Set Identification in Linear Panel Data Models with Measurement Error

Author

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  • Erik Meijer
  • Laura Spierdijk
  • Tom Wansbeek

Abstract

The rich dependency structure of panel data can be exploited to generate moment conditions that can be used to identify linear regression models in the presence of measurement error. This paper adds to a small body of literature on this topic by showing how heteroskedasticity and nonlinear relationships between the error-ridden regressors and error-free regressors lead to identifying moment conditions in a static panel data setting, how suitably chosen linear combinations of lagged and lead values of the dependent variable can be used as instrumental variables in a dynamic panel data with measurement errors, and how reverse regression can be generalized to the panel data setting, thereby giving bounds on regression coefficients in the absence of point identification.

Suggested Citation

  • 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.
    • Handle: RePEc:ran:wpaper:wr-941
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    References listed on IDEAS

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    1. 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.
    2. Francisca Antman & David McKenzie, 2007. "Poverty traps and nonlinear income dynamics with measurement error and individual heterogeneity," Journal of Development Studies, Taylor & Francis Journals, vol. 43(6), pages 1057-1083.
    3. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
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    5. Mark Harris & Laszlo Matyas, 2000. "Performance of the operational Wansbeek-Bekker estimator for dynamic panel data models," Applied Economics Letters, Taylor & Francis Journals, vol. 7(3), pages 149-153.
    6. Manuel Arellano & Stephen Bond, 1991. "Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
    7. Wansbeek, Tom & Bekker, Paul, 1996. "On IV, GMM and ML in a dynamic panel data model," Economics Letters, Elsevier, vol. 51(2), pages 145-152, May.
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    More about this item

    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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