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 …) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation …

practical guidelines are provided. -- Panel data ; Measurement error ; ARMA model ; GMM ; Signal-noise ratio ; Error memory ; IV …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 …

This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …

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 …) heteroskedasticity and nonlinearity in the relation between the error-ridden covariate and another, error-free, covariate in the equation …