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Analysis of interactive fixed effects dynamic linear panel regression with measurement error

Authors: Nayoung Lee, Hyungsik Roger Moon and Martin Weidner
Date: 15 December 2011
Type: cemmap Working Papers, CWP37/11
doi: 10.1920/wp.cem.2011.3711

Abstract

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.

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