Advertisement

Measurement Errors and Simultaneity

  • Erik Biørn
  • Jayalakshmi Krishnakumar
Part of the Advanced Studies in Theoretical and Applied Econometrics book series (ASTA, volume 46)

Keywords

Ordinary Little Square Panel Data Error Component Generalise Little Square Panel Data Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Ahn, S.C., and P. Schmidt (1995): Efficient Estimation of Models for Dynamic Panel Data. Journal of Econometrics, 68, 5–27.CrossRefGoogle Scholar
  2. Amemiya, T. (1971): The Estimation of Variances in a Variance Components Model. International Economic Review, 12, 1–13.CrossRefGoogle Scholar
  3. Amemiya, T. and T.E. McCurdy (1986): Instrumental Variable Estimation of an Error Components Model. Econometrica, 54, 869–881.CrossRefGoogle Scholar
  4. Anderson, T.W., and C. Hsiao (1981): Estimation of Dynamic Models with Error Components. Journal of the American Statistical Association, 76, 598–606.CrossRefGoogle Scholar
  5. Anderson, T.W., and C. Hsiao (1982): Formulation and Estimation of Dynamic Models Using Panel Data. Journal of Econometrics , 18, 47–82.CrossRefGoogle Scholar
  6. Arellano, M., and S. Bond (1991): Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations. Review of Economic Studies, 58,277–297.CrossRefGoogle Scholar
  7. Arellano, M., and O. Bover (1995): Another Look at the Instrumental Variable Estimation of Error-Components Models. Journal of Econometrics, 68, 29–51.CrossRefGoogle Scholar
  8. Avery, R.B. (1977): Error Component Models and Seemingly Unrelated Regressions. Econometrica, 45, 199–209.CrossRefGoogle Scholar
  9. Balestra, P. (1983): La Dérivation Matricielle. Collection de l’Institut de Mathématiques Economiques de Dijon, 12, Sirey, Paris.Google Scholar
  10. Balestra, P. and J. (Varadharajan–)Krishnakumar (1987): Full Information Estimations of a System of Simultaneous Equations with Error Component Structure. Econometric Theory, 3, 223–246.CrossRefGoogle Scholar
  11. Baltagi, B.H. (1981): Simultaneous Equations with Error Components. Journal of Econometrics, 17, 189–200.CrossRefGoogle Scholar
  12. Baltagi, B.H. (1984): A Monte Carlo Study for Pooling Time Series of Cross-Section Data in the Simultaneous Equations Model. International Economic Review, 25, 603–624.CrossRefGoogle Scholar
  13. Baltagi, B.H. (2001): Econometric Analysis of Panel Data, second edition. Chichester: Wiley.Google Scholar
  14. Baltagi, B.H. and Y-J. Chang (2000): Simultaneous Equations with Incomplete Panels, Econometric Theory, 16, 269–279.CrossRefGoogle Scholar
  15. Bekker, P., A. Kapteyn, and T. Wansbeek (1987): Consistent Sets of Estimates for Regressions with Correlated or Uncorrelated Measurement Errors in Arbitrary Subsets of All Variables. Econometrica, 55, 1223–1230.CrossRefGoogle Scholar
  16. Biørn, E. (1992): The Bias of Some Estimators for Panel Data Models with Measurement Errors. Empirical Economics, 17, 51–66.CrossRefGoogle Scholar
  17. Biørn, E. (1996): Panel Data with Measurement Errors. Chap. 10 in The Econometrics of Panel Data. Handbook of the Theory with Applications, ed. by L. Métyés and P. Sevestre. Dordrecht: Kluwer.Google Scholar
  18. Biørn, E. (2000): Panel Data with Measurement Errors. Instrumental Variables and GMM Estimators Combining Levels and Differences. Econometric Reviews, 19, 391–424.CrossRefGoogle Scholar
  19. Biørn, E. (2003): Handling the Measurement Error Problem by Means of Panel Data: Moment Methods Applied on Firm Data. Chap. 24 in Econometrics and the Philosophy of Economics, ed. by B. Stigum. Princeton: Princeton University Press.Google Scholar
  20. Biørn, E., and T.J. Klette (1998): Panel Data with Errors-in-Variables: Essential and Redundant Orthogonality Conditions in GMM-Estimation. Economics Letters, 59, 275–282.CrossRefGoogle Scholar
  21. Biørn, E., and T.J. Klette (1999): The Labour Input Response to Permanent Changes in Output: An Errors in Variables Analysis Based on Panel Data. Scandinavian Journal of Economics, 101, 379–404.CrossRefGoogle Scholar
  22. Blundell, R., and S. Bond (1998): Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. Journal of Econometrics, 87, 115–143.CrossRefGoogle Scholar
  23. Bowden, R.J. and D.A. Turkington (1984): Instrumental Variables. Econometric Society Publication, No. 8, Cambridge University Press, Cambridge.Google Scholar
  24. Breusch, T.S., G.E. Mizon and P. Schmidt (1987): Efficient Estimation Using Panel Data, Michigan State University Econometrics Workshop Paper 8608.Google Scholar
  25. Breusch, T., H. Qian, P. Schmidt, and D. Wyhowski (1999): Redundancy of Moment Conditions. Journal of Econometrics, 91, 89–111.CrossRefGoogle Scholar
  26. Chamberlain, G.(1987): Asymptotic Efficiency in Estimation With Conditional Moment Restrictions. Journal of Econometrics, 34, 305–334.CrossRefGoogle Scholar
  27. Cornwell, C., P. Schmidt and D. Wyhowski (1992): Simultaneous Equations and Panel Data. Journal of Econometrics, 51, 151–181.CrossRefGoogle Scholar
  28. Davidson, R., and J.G. MacKinnon(1993): Estimation and Inference in Econometrics. Oxford: Oxford University Press.Google Scholar
  29. Erickson, T. (1993): Restricting Regression Slopes in the Errors-in-Variables Model by Bounding the Error Correlation. Econometrica, 91, 959–969.CrossRefGoogle Scholar
  30. Fisher, F.M. (1966): The Identification Problem in Econometrics, New York: McGraw-Hill.Google Scholar
  31. Fuller, W.A. (1987): Measurement Error Models. New York: Wiley.Google Scholar
  32. Griliches, Z., and J.A. Hausman (1986): Errors in Variables in Panel Data. Journal of Econometrics, 31, 93–118.CrossRefGoogle Scholar
  33. Hansen, L.P. (1982): Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50, 1029–1054.CrossRefGoogle Scholar
  34. Harris, D. and L. Mátyás (1999): Introduction to the Generalized Method of Moments Estimation. Chap. 1 in Generalized Method of Moments Estimation, ed. by L. Mátyás. Cambridge: Cambridge University Press.Google Scholar
  35. Harris, M., L. Mátyás and P. Sevestre, (2007): Dynamic Models for “Short Panels”. Chap. 8 in this volume.Google Scholar
  36. Hausman, J.A., and W.E. Taylor (1981): Panel Data and Unobservable Individual Effects. Econometrica 49, 1377–1398.CrossRefGoogle Scholar
  37. Hausman, J.A. and W.E. Taylor (1983): Identification in Linear Simultaneous Equations Models with Covariance Restrictions: An Instrumental Variables Interpretation. Econometrica 51, 1527–1549.CrossRefGoogle Scholar
  38. Holtz-Eakin, D., W. Newey, and H.S. Rosen (1988): Estimating Vector Autoregressions with Panel Data. Econometrica, 56, 1371–1395.CrossRefGoogle Scholar
  39. Hsiao, C. (2003): Analysis of Panel Data, 2nd edition. Cambridge: Cambridge University Press.Google Scholar
  40. Klepper, S., and E. Leamer (1984): Consistent Sets of Estimates for Regressions with Errors in All Variables. Econometrica, 52, 163–183.CrossRefGoogle Scholar
  41. Koopmans, T.C. (1953): Identification Problems in Economic Model Construction, in Studies in Econometric Method (Cowles Commission Monograph 14), ed. by W.C. Hood andT.C. Koopmans, New York: John Wiley and Sons.Google Scholar
  42. Krishnakumar, J. (1988): Estimation of Simultaneous Equation Models with Error Components Structure. Berlin, Heidelberg: Springer-Verlag.Google Scholar
  43. Maddala, G.S. (1971): The Use of Variance Components Models in Pooling Cross Section and Time Series Data. Econometrica, 39, 341–358.CrossRefGoogle Scholar
  44. Métyés, L. and L. Lovrics (1990): Small Sample Properties of Simultaneous Error Components Models. Economics Letters 32, 25–34.CrossRefGoogle Scholar
  45. McCabe, B., and A. Tremayne (1993): Elements of Modern Asymptotic Theory with Statistical Applications. Manchester: Manchester University Press.Google Scholar
  46. Nagar, A.L. (1959): The Bias and Moment Matrix of the General k–class Estimators of the Parameters in Simultaneous Equations. Econometrica, 27, 575–595.CrossRefGoogle Scholar
  47. Nelson, C.R., and R. Startz (1990): Some Further Results on the Exact Small Sample Properties of the Instrumental Variable Estimator. Econometrica, 58, 967–976.CrossRefGoogle Scholar
  48. Nerlove, M. (1971): A Note on Error Components Models. Econometrica, 39, 383–396.CrossRefGoogle Scholar
  49. Newey, W.K. (1985): Generalized Method of Moments Specification Testing. Journal of Econometrics, 29, 229–256.CrossRefGoogle Scholar
  50. Newey, W.K., and D. McFadden (1994): Large Sample Estimation and Hypothesis Testing. Chap. 36 in Handbook of Econometrics, Vol. IV, ed. by R.F. Engle and D.L. McFadden. Amsterdam: North-Holland.Google Scholar
  51. Paterno, E.M., Y. Amemiya, and Y. Amemiya (1996): Random Effect and Random Coefficient Analysis with Errors-in-Variables. 1996 Proceedings of the Business and Economic Statistics Section, pp. 76–79.Google Scholar
  52. Phillips, P.C.B. (1982): Small Sample Distribution Theory in Econometric Models of Simultaneous Equations, Cowles Foundation Discussion Paper No. 617, Yale University.Google Scholar
  53. Prucha, I.R. (1985): Maximum Likelihood and Instrumental Variable Estimation in Simultaneous Equation Systems with Error Components. International Economic Review, 26, 491–506.CrossRefGoogle Scholar
  54. Reiersøl, O. (1950): Identifiability of a Linear Relation Between Variables which are Subject to Error. Econometrica, 18, 375–389.CrossRefGoogle Scholar
  55. Rothenberg, T.J. (1971): Identification in Parametric Models. Econometrica, 39, 577–592.CrossRefGoogle Scholar
  56. Shalabh (2003): Consistent Estimation of Coefficients in Measurement Error Models with Replicated Observations. Journal of Multivariate Analysis, 86, 227–241.Google Scholar
  57. Staiger, D., and J.H. Stock (1997): Instrumental Variables Regression With Weak Instruments. Econometrica, 65, 557–586.CrossRefGoogle Scholar
  58. Swamy, P.A.V.B. and S.S. Arora (1972): The Exact Finite Sample Properties of the Estimators of Coefficients in the Error Components Regression Models. Econometrica, 40, 261–275.CrossRefGoogle Scholar
  59. Theil, H. (1971): Principles of Econometrics. Amsterdam: North-Holland Publishing Company.Google Scholar
  60. Vella, F. and M. Verbeek (1999): Two-step Estimation of Panel Data Models with Censored Endogenous Variables and Selection Bias. Journal of Econometrics, 90, 239–263.CrossRefGoogle Scholar
  61. Wansbeek, T.J. (2001): GMM Estimation in Panel Data Models with Measurement Error. Journal of Econometrics, 104, 259–268.CrossRefGoogle Scholar
  62. Wansbeek, T.J., and R.H. Koning (1991): Measurement Error and Panel Data. Statistica Neerlandica, 45, 85–92.Google Scholar
  63. Wansbeek, T.J., and E. Meijer (2000): Measurement Error and Latent Variables in Econometrics. Amsterdam: Elsevier.Google Scholar
  64. White, H. (1982): Instrumental Variables Regression with Independent Observations. Econometrica, 50, 483–499.CrossRefGoogle Scholar
  65. White, H. (1984): Asymptotic Theory for Econometricians. Orlando: Academic Press.Google Scholar
  66. White, H. (1986): Instrumental Variables Analogs of Generalized Least Squares Estimators. In Advances in Statistical Analysis and Statistical Computing. Theory and Applications, vol. 1, ed. by R.S. Mariano, Greenwich: JAI Press, pp. 173–227.Google Scholar
  67. Zellner, A. and H. Theil (1962): Three Stage Least Squares: Simultaneous Estimation of Simultaneous Equations. Econometrica, 30, 54–78.CrossRefGoogle Scholar
  68. Ziliak, J.P. (1997): Efficient Estimation With Panel Data When Instruments Are Predetermined: An Empirical Comparison of Moment-Condition Estimators. Journal of Business and Economic Statistics, 15, 419–431.CrossRefGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Erik Biørn
    • 1
  • Jayalakshmi Krishnakumar
    • 2
  1. 1.Department of EconomicsUniversity of OsloBlindernNorway
  2. 2.Department of EconometricsUniversity of GenevaSwitzerland

Personalised recommendations