Panel Data with Errors-in-Variables: A Note on Essential and Redundant Orthogonality Conditions in GMM-estimation

Arbeitspapier

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Discussion Papers ; No. 190

Classification and Topics

• Classification: 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
• Subject: Panel Data ; Errors-in-Variables ; Instrumental Variables ; GMM Estimation ; Generalized inverse

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Biørn, Erik ; Klette, Tor Jakob
• Event: Veröffentlichung
• (who): Statistics Norway, Research Department
• (where): Oslo
• (when): 1997

Further information

• Handle: http://hdl.handle.net/10419/192174
• Last update: 10.03.2025, 11:44 AM CET