Analysis of interactive fixed effects dynamic linear panel regression with measurement error
2605.02311
Nayoung Lee, Hyungsik Roger Moon, Martin Weidner
econ.EM
TLDR
This paper analyzes and proposes the LS-MD method for dynamic linear panel regression with interactive fixed effects and measurement error.
Key contributions
- Analyzes dynamic linear panel regression with interactive fixed effects.
- Addresses measurement error in the key variable of interest.
- Proposes the Least-Squares Minimum Distance (LS-MD) estimation method.
Why it matters
Measurement error often biases estimates in dynamic panel models. This paper offers a robust LS-MD approach to accurately estimate dynamic coefficients, improving model reliability.
Original Abstract
This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.
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