Consistent estimation of linear panel data models with measurement error

Abstract

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Moment Conditions for the Quadratic Regression Model With Measurement Error

“…Our approach directly extends the strand of literature initiated by Geary (1942), who introduced the moment-based approach for the linear measurement-error model and whose approach was elaborated on by many others (Cragg, 1997;Dagenais and Dagenais, 1997;Whited, 2000, 2012;Kendall and Stuart, 1973;Meijer et al, 2017;Pal, 1980;Scott, 1950;Van Montfort et al, 1989).…”

The Impact of Uncertainty on Investment: Empirical Challenges and a New Estimator

“…6 Correcting for the measurement error bias is challenging, partly because of a lack of proper instruments for Tobin's Q, and partly because of the potential endogeneity of uncertainty. For the former, the existing literature has proposed some unconventional measurement error remedies that require no such instruments (Erickson and Whited (2000), Erickson et al (2014), andMeijer et al (2017)). However, to achieve identification, all these methods assume that the regressors other than Tobin's Q are exogenous.…”

“…We demonstrate that it can address the endogeneity of uncertainty in the presence of mismeasured Tobin's Q. Then, we correct for the measurement error bias caused by Q through a GMM estimator in the spirit of Meijer et al (2017) but in our nonparametric framework. Furthermore, in contrast to their method, our approach involves a penalty selection of moment conditions used in the GMM estimation, which greatly improves finite-sample performance.…”

“…The control function is unknown, and we estimate it nonparametrically from data. Then, considering equations (2) and (5) together, since all the variables other than Tobin's Q are exogenous, we can correct for the measurement error bias through a GMM estimator in the spirit of Meijer et al (2017) by extending their work to our nonparametric framework. 7 We define the reverse causality issue rigorously in Section III.A.…”

A Tutorial on the Use of Differences-in-Differences in Management, Finance, and Accounting

“…Instead, we direct the reader to Angrist and Pischke (2008), Roberts and Whited (2013), and Gormley and Matsa (2014). For a more technical review on panel data models with measurement errors, we recommend Meijer, Spierdijk and Wansbeek (2017).…”