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

Authors: Nayoung Lee , Hyungsik Roger Roger Moon and Martin Weidner
Date: 30 October 2012
Type: Journal Article, Economics Letters, Vol. 117, No. 1, pp. 239--242
DOI: 10.1016/j.econlet.2012.04.109

Abstract

This paper studies a simple dynamic linear panel 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.

Previous version:
Nayoung Lee, Hyungsik Roger Roger Moon and Martin Weidner December 2011, Analysis of interactive fixed effects dynamic linear panel regression with measurement error, cemmap Working Paper, CWP37/11

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