Arbeitspapier
Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With non-autocorrelated measurement error, we show that only the one-period and a few two-period differences are essential, i.e. relevant for GMM-estimation. GMM estimation based on all orthogonality conditions on the basis of a generalized inverse formulation is shown to be equivalent to estimation using only the essential orthogonality conditions
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers ; No. 190
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Hypothesis Testing: General
Estimation: General
- Thema
-
Panel Data
Errors-in-Variables
Instrumental Variables
GMM Estimation
Generalized inverse
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Biørn, Erik
Klette, Tor Jakob
- Ereignis
-
Veröffentlichung
- (wer)
-
Statistics Norway, Research Department
- (wo)
-
Oslo
- (wann)
-
1997
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Biørn, Erik
- Klette, Tor Jakob
- Statistics Norway, Research Department
Entstanden
- 1997
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