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2013 | OriginalPaper | Chapter

Measurement Error in the Linear Dynamic Panel Data Model

Authors : Erik Meijer, Laura Spierdijk, Tom Wansbeek

Published in: ISS-2012 Proceedings Volume On Longitudinal Data Analysis Subject to Measurement Errors, Missing Values, and/or Outliers

Publisher: Springer New York

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Abstract

We study measurement error in the simplest dynamic panel data model without covariates. We start by investigating the first-order effects, on the most commonly used estimator, of the presence of measurement error. As was to be expected, measurement error renders this estimator inconsistent. However, with a slight adaptation, the estimator can be made consistent. This approach to consistent estimation is ad hoc and we next develop a systematic approach to consistent estimation. We show how to obtain the most efficient estimator from this class of consistent estimators. We illustrate our findings through an empirical example.

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previous chapter Measurement Error in Dynamic Models

next chapter Inference Progress in Missing Data Analysis from Independent to Longitudinal Setup

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Title: Measurement Error in the Linear Dynamic Panel Data Model
Authors: Erik Meijer
Laura Spierdijk
Tom Wansbeek
Publisher: Springer New York
Book: ISS-2012 Proceedings Volume On Longitudinal Data Analysis Subject to Measurement Errors, Missing Values, and/or Outliers
Print ISBN: 978-1-4614-6870-7

Electronic ISBN: 978-1-4614-6871-4

Copyright Year: 2013
DOI: https://doi.org/10.1007/978-1-4614-6871-4_4

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