Narrow search
Showing 1 - 7 of 7
Cover Image
The measurement error problem in dynamic panel data analysis : modeling and GMM estimation
Biørn, Erik - 2012 - Publisert 13. feb. 2012 09:52 - Sist endret 13. feb. 2012 10:14
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...
Persistent link: https://www.econbiz.de/10009489019
Cover Image
Panel data dynamics and measurement errors: GMM bias, IV validity and model fit - a Monte Carlo study
Biørn, Erik; Han, Xuehui - 2012
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...
Persistent link: https://www.econbiz.de/10010330209
Cover Image
The measurement error problem in dynamic panel data analysis: Modeling and GMM estimation
Biørn, Erik - 2012
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...
Persistent link: https://www.econbiz.de/10010330243
Cover Image
Persistence, signal-noise pattern and heterogeneity in panel data : with an application to the impact of foreign direct investment on GDP
Biørn, Erik; Han, Xuehui - 2015 - This version January 2015
GMM estimation of autoregressive panel data equations in error-ridden variables when the noise has memory, is considered. The impact of variation in the memory length in signal and noise spread and in the degree of individual heterogeneity are discussed with respect to finite sample bias, using...
Persistent link: https://www.econbiz.de/10010479979
Cover Image
Panel data dynamics and measurement errors : GMM bias, IV validity and model fit ; a Monte Carlo study
Biørn, Erik; Han, Xuehui - 2012 - Published Oct 24, 2012 02:35 PM, Last modified Oct 24, 2012 02:35 PM
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...
Persistent link: https://www.econbiz.de/10009632935
Cover Image
The Measurement Error Problem in Dynamic Panel Data Analysis: Modeling and GMM Estimation
Biørn, Erik - Økonomisk institutt, Universitetet i Oslo - 2012
The Generalized Method of Moments (GMM) is discussed for handling the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors is assumed. Two specializations of GMM are...
Persistent link: https://www.econbiz.de/10010785528
Cover Image
Panel Data Dynamics and Measurement Errors: GMM Bias, IV Validity and Model Fit – A Monte Carlo Study
Biørn, Erik; Han, Xuehui - Økonomisk institutt, Universitetet i Oslo - 2012
An autoregressive fixed effects panel data equation in error-ridden endogenous and exogenous variables, with finite memory of disturbances, latent regressors and measurement errors is considered. Finite sample properties of GMM estimators are explored by Monte Carlo (MC) simulations. Two kinds...
Persistent link: https://www.econbiz.de/10010819019