Discussion Papers no. 190
A note on essential and redundant orthogonality conditions in GMM-estimation
Panel data with errors-in-variables
General Method of Moments (GMM) estimation of a linear one-equation model using panel data with errors-in-variables is considered. To eliminate fixed individual heterogeneity, the equation is differenced across one or more than one periods and estimated by means of instrumental variables. With non-autocorrelated measurement error, we show that only the one-period and a few two-period differences are essential, i.e. relevant for GMM-estimation. GMM estimation based on all orthogonality conditions on the basis of a generalized inverse formulation is shown to be equivalent to estimation using only the essential orthogonality conditions
Om publikasjonen
- Tittel
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Panel data with errors-in-variables. A note on essential and redundant orthogonality conditions in GMM-estimation
- Ansvarlige
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Erik Biørn, Tor Jakob Klette
- Serie og -nummer
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Discussion Papers no. 190
- Utgiver
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Statistics Norway, Research Department
- Emne
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Discussion Papers
- Antall sider
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13
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
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