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Identification and method of moments estimation in polynomial measurement error models
Biørn, Erik - 2017
well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain … latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of … Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is …
Persistent link: https://www.econbiz.de/10011636052
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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
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Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics
MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007
This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...
Persistent link: https://www.econbiz.de/10014024953
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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
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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
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Dynamic spatial panel models : networks, common shocks, and sequential exogeneity
Kuersteiner, Guido M.; Prucha, Ingmar R. - 2015
. We discuss explicit examples from the recent social interaction literature. Identification of spatial interaction …
Persistent link: https://www.econbiz.de/10011298538
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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
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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
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Nonparametric Identification in Structural Economic Models
Matzkin, Rosa L. - In: Annual Review of Economics 5 (2013) 1, pp. 457-486
provided ways to achieve identification of these primitive functions and distributions without imposing parametric restrictions … taken to develop nonparametric identification results in those models. …
Persistent link: https://www.econbiz.de/10010822971
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Identification, instruments, omitted variables, and rudimentary models: Fallacies in the "experimental approach" to econometrics
Biørn, Erik - 2017
Since identification, instrumental variables and variables exclusion, core concepts in econometrics, are entwined …, several questions arise: How is identification related to the existence of IVs? How are identification criteria related to …
Persistent link: https://www.econbiz.de/10012058691