In this paper, we investigate the problem of estimating distributed lags in short panels. Estimates of the parameter of distributed lag relationships based on single time-series of observations have been usually rather imprecise. The promise of panel data in this context is in the N repetitions...

This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary disturbances under the assumption that the variables are subject to random measurement errors. The conditions under which the parameters are identified are stated. An...