This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.

In this paper, we show that conventional heteroskedasticity and autocorrelation robust inference procedures based on the reduced form provide tests and confidence intervals for structural parameters that are valid when instruments are strongly or weakly correlated to the endogenous variables.