Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
Panel Data With Measurement Errors: Instrumental Variables And Gmm Procedures Combining Levels And Differences
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DOI：
10.1080/07474930008800480
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发表时间：
2000-01
影响因子：
1.2
通讯作者：
E. Biørn
中科院分区：
文献类型：
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作者：
E. Biørn
考虑了回归变量中含有测量误差的面板数据的线性静态回归方程的估计问题。如果潜在回归是自相关或非平稳的，几个一致的工具变量（IV）和广义矩量法（GMM）估计通常存在，提供了一些结构上的干扰和测量误差。GMM程序的应用（i）在方程的差异与IV的水平和（ii）在方程的水平与IV的差异，消除未观察到的个人异质性的差异转换被认为是。IV可以从回归量或回归和的值构造。一些限定有效IV的正交性条件是多余的。插图的基础上的数据的投入和产出，从一个八年的面板制造企业。* 在1998年6月于吉泰堡举行的第八届国际面板数据会议上提出的文件订正本。我感谢阿斯内斯、克莱特、斯杰尔彭、万斯贝克和裁判们的宝贵意见。版权O 2000，Marcel Dekker，Inc.
The estimation of linear, static regression equations from panel data with measurement errors in the regressors is considered. If the latent regressor is autocorrelated or non-stationary, several consistent instrumental variables (IV) and generalized method of moments (GMM) estimators usually exist, provided some structure is imposed on the disturbances and measurement errors. Applications of GMM procedures (i) on equations in differences with IV's in levels and (ii) on equations in levels with IV's in differences the difference transformations eliminating unobserved individual heterogeneity are considered. The IV's may be constructed from values of the regressors or the regressand. Some of the orthogonality conditions delimiting the valid IV's are redundant. Illustrations based on data on inputs and outputs from an eight year panel of manufacturing firms are given. * Revised version of paper presented at the Eighth International Conference on Panel Data, Gijteborg, June 1998. I thank J~ rgen Aasness, Tor Jakob Klette, Terje Skjerpen, Tom Wansbeek, and the referees for valuable comments. Copyright O 2000 by Marcel Dekker, Inc.