Generalized Method of Moments (GMM) estimation is discussed under the joint occurrence of fixed effects and random measurement errors in an autoregressive panel data model. Finite memory of measurement errors is allowed for. Two GMM specializations are considered: (i) using instruments (IVs) in...

The estimation of linear, static regression equations from panel data with measurement errors in the regressors is considered. If the latent regressor is autocorrelated or non-stationary, several consistent instrumental variables (IV) and generalized method of moments (GMM) estimators usually...