This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent, using the exponent of cross-sectional dependence α, introduced recently in Bailey, Kapetanios and Pesaran (2012). It is shown that the implicit null of the CD test depends on...

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference for stationary panel regressions with multifactor error...

We consider the possibility that demographic variables are measured with errors which arise because household surveys measure demographic structures at a point-in-time, whereas household composition evolves throughout the survey period. We construct and estimate sharp bounds on household size...

The paper deals with measurement error, and its potentially distorting role, in information on industry and professional status collected by labour force surveys. The focus of our analyses is on inconsistent information on these employment characteristics resulting from yearly transition...

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data models with unobserved endogenous state variables. The new approach can easily deal with the commonly encountered and widely discussed "initial conditions problem," as well as the...

Measures of inequality and mobility based on self-reported earnings reflect attributes of both the joint distribution of earnings across time and the joint distribution of measurement error and earnings. While classical measurement error would increase measures of inequality and mobility there...

In this paper, we analyze measurement and classification errors in several key variables, including earnings and educational attainment, in a matched sample of survey and administrative longitudinal data. The data, spanning 1994-2001 and covering all sectors in the Danish economy, are much more...

Parts of the Dutch tax reform 2001 are directed towards fiscal partners in a household and aim at lowering the marginal tax burden of the partner with the lowest (potential) labour income. An important goal of the reform is to increase the employment rate of these partners, which are in majority...

Using recent results in the measurement error literature, we show that the official U.S. unemployment rates substantially underestimate the true levels of unemployment, due to misclassification errors in labor force status in Current Population Surveys. Our closed-form identification of the...

Researchers in economics and other disciplines are often interested in the causal effect of a binary treatment on outcomes. Econometric methods used to estimate such effects are divided into one of two strands depending on whether they require the conditional independence assumption (i.e.,...