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Analysis of interactive fixed effects dynamic linear panel regression with measurement error

Lee, Nayoung; Moon, Hyungsik Roger; Weidner, Martin - 2011

This paper studies a simple dynamic panel linear regression model with interactive fixed effects in which the variable … (LS-MD) estimation method. -- dynamic panel ; interactive fixed effects ; measurement error ; LS-MD estimation …

Persistent link: https://www.econbiz.de/10009419307

Semiparametric nonlinear panel data models with measurement error

Linton, Oliver; Shiu, Ji-liang - 2018

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured …

Persistent link: https://www.econbiz.de/10011775206

Inference on a distribution from noisy draws

Jochmans, Koen; Weidner, Martin - 2019

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …

Persistent link: https://www.econbiz.de/10012063831

Inference on a distribution from noisy draws

Jochmans, Koen; Weidner, Martin - 2021

-effect models for panel data. We use an asymptotic embedding where the noise shrinks with the sample size to calculate the leading …

Persistent link: https://www.econbiz.de/10012792731

Dynamic linear panel regression models with interactive fixed effects

Moon, Hyungsik Roger; Weidner, Martin - 2013

We analyze linear panel regression models with interactive fixed effects and predetermined regressors, e.g. lagged … bias corrected LS estimator for the case where idiosyncratic errors are independent across both panel dimensions …

Persistent link: https://www.econbiz.de/10010225893

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

heterogeneity or unobserved state variables and panel data models with fixed effects. Recent developments in measurement error …

Persistent link: https://www.econbiz.de/10010469057

Identification and estimation of nonparametric panel data regressions with measurement error

Wilhelm, Daniel - 2015

This paper provides a constructive argument for identification of nonparametric panel data models with measurement … identification result in the context of a nonlinear panel data regression model with additively separable fixed effects. It provides …

Persistent link: https://www.econbiz.de/10011287056

Simple estimation of semiparametric models with measurement errors

Evdokimov, Kirill S.; Zeleneev, Andrei - 2022 - This version: 2022/02/22

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variance of the measurement errors is a fraction of that of the mismeasured variables, which is typical for empirical...

Persistent link: https://www.econbiz.de/10013041400

Simple estimation of semiparametric models with measurement errors

Evdokimov, Kirill S.; Zeleneev, Andrei - 2025 - This version: November 28, 2024

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For...

Persistent link: https://www.econbiz.de/10015178608

Estimating demand for differentiated products with error in market shares

Gandhi, Amit; Lu, Zhentong; Shi, Xiaoxia - 2013

In this paper we introduce a new approach to estimating a differentiated product demand system that allows for error in market shares as measures of choice probabilities. In particular, our approach allows for products with zero sales in the data, which is a frequent phenomenon that arises in...

Persistent link: https://www.econbiz.de/10009707190