Panel data with errors-in-variables: essential and redundant orthogonality conditions in GMM-estimation

Autor:	Erik Biørn, Tor Jakob Klette
Rok vydání:	1998
Předmět:	Economics and Econometrics Generalized inverse Observational error Orthogonality Basis (linear algebra) Statistics Instrumental variable Errors-in-variables models Finance Panel data Generalized method of moments Mathematics
Zdroj:	Economics Letters. 59:275-282
ISSN:	0165-1765
DOI:	10.1016/s0165-1765(98)00053-6
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::650c209375f53a38fc4bf894ef4d47be https://doi.org/10.1016/s0165-1765(98)00053-6 Zobrazit plný text záznamu Full Text from ScienceDirect