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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: 15 December 2011
Type: cemmap Working Paper, 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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Now published:
Nayoung Lee, Hyungsik Roger Roger Moon and Martin Weidner October 2012, Analysis of interactive fixed effects dynamic linear panel regression with measurement error, Journal Article, Elsevier

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