摘要
本文把一般的回归分析中观测变量有测量误差的问题引入到面板数据模型中,考虑有测量误差的动态面板数据模型,推导出模型中参数满足的各种矩条件,利用广义矩估计的方法得到了模型中参数的一致估计。并且给出了模型错误识别时参数的一个估计值。最后,对于不同的测量误差结构,通过Monte Carlo试验验证了我们给出三种估计的优良性。
This paper introduces the general method of moment estimation in panel data models with measurement error, but how to estimate parameters in dynamic panel data with measurement error is stilla question. It presents a simple systematic approach to derive moment conditions for such models and gives a approach to obtain GMM estimation in dynamic panel data models with measurement error. Then it gives another estimation of parameters on the conditions of mis - specified model. At last three Monte Carlo experiments were done to have a comparison of the three estimations and the best one is the second GMM estimation.
出处
《安阳师范学院学报》
2008年第2期11-15,共5页
Journal of Anyang Normal University
基金
郑州航空工业管理学院青年基金(Q07L073)
关键词
动态面板数据模型
广义矩方法
测量误差
工具变量
Dynamic panel data
The General Method of Moment
measurement error
Instruments
