The model considered in this chapter is a rather simple dynamic error components model. Models of this type have been studied by a number of authors, including Nerlove (1967, 1971), Trognon (1978), Anderson and Hsiao (1981), and Sevestre and Trognon (1985). Our assumptions will be fairly conventional, except for the fact that lagged endogenous or exogenous variables are allowed to suffer from measurement error. A variant of this model, not including error components, has been studied extensively in the literature, cf. Aigner et al. (1984). A full treatment of ML estimation in this so-called dynamic shock-error model has been given by Ghosh (1989). Grtliches and Hausman (1986) study another variant, namely a static panel data model with measurement error in the exogenous variables.
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