Correcting for omitted-variable and measurement-error bias in autoregressive model estimation with panel data

DOI10.1023/A:1026189916020zbMath1040.62079OpenAlexW2152124402MaRDI QIDQ1417068

I-Lok Chang, Jatinder S. Mehta, P. A. V. B. Swamy, George S. Tavlas

Publication date: 18 December 2003

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1026189916020

zbMATH Keywords

panel dataautoregressive modelsconcomitantsemployment datameasurement-error biasesomitted-variable biases

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Solving the omitted variables problem of regression analysis using the relative vertical position of observations ⋮ An efficient method of estimating the true value of a population characteristic from its discrepant estimates ⋮ Empirical best linear unbiased prediction in misspecified and improved panel data models with an application to gasoline demand ⋮ A NOTE ON MUTH'S RATIONAL EXPECTATIONS HYPOTHESIS: A TIME-VARYING COEFFICIENT INTERPRETATION

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