Measurement error causes a downward bias when estimating a panel data linear regression model. The panel data context offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources of moment conditions: (i) restrictions on the...

For the setting of multiple regression with measurement error in a single regressor, we present some very simple formulas to assess the result that one may expect when correcting for measurement error. It is shown where the corrected estimated regression coefficients and the error variance may...

We argue that central bank independence (CBI) is a latent variable of which the various existing quantifications are imperfect indicators. We show how factor analysis techniques can be employed to assess the quality of the various indicators, and how an optimal weighting of the indicators can be...

Survey data on earnings tend to contain measurement error. Administrative data are superior in principle, but are worthless in case of a mismatch. We develop methods for prediction in mixture factor analysis models that combine both data sources to arrive at a single earnings figure. We apply...

The authors study the prediction of latent variables in a finite mixture of linear structural equation models. The latent variables can be viewed as well-defined variables measured with error or as theoretical constructs that cannot be measured objectively, but for which proxies are observed....

It is shown how the usual two-step estimator for the standard sample selection model can be seen as a method of moments estimator. Standard GMM theory can be brought to bear on this model, greatly simplifying the derivation of the asymptotic properties of this model. Using this setup, the...

Survey data on earnings tend to contain measurement error. Administrative data are superior in principle, but are worthless in case of a mismatch. We develop methods for prediction in mixture factor analysis models that combine both data sources to arrive at a single earnings figure. We apply...