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Simple estimators for dynamic panel data models with errors in variables

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  • Wansbeek, T.J.
  • Kapteyn, A.J.

    (Tilburg University, School of Economics and Management)

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.
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Suggested Citation

  • Wansbeek, T.J. & Kapteyn, A.J., 1989. "Simple estimators for dynamic panel data models with errors in variables," Other publications TiSEM 5ee32003-ef02-4bc6-a883-b, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:5ee32003-ef02-4bc6-a883-ba4a0dc6d7fc
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    References listed on IDEAS

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    1. Griliches, Zvi & Hausman, Jerry A., 1986. "Errors in variables in panel data," Journal of Econometrics, Elsevier, vol. 31(1), pages 93-118, February.
    2. 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.
    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. 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.
    6. 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.
    7. Ghosh, Damayanti, 1989. "Maximum likelihood estimation of the dynamic shock-error model," Journal of Econometrics, Elsevier, vol. 41(1), pages 121-143, May.
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    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.

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