Cemmap Working Paper (CWP37/11)

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

Date: 15 December 2011
DOI: 10.1920/wp.cem.2011.3711

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.