Estimating dynamic models from time series of independent cross-sections Export

@article{citeulike:2370410, abstract = {The purpose of this paper is to analyze the estimation of dynamic models from time series of independent cross-sections. The population is divided into groups with fixed membership (cohorts) and the cohort sample means are used as a panel subject to measurement errors. We propose measurement-error corrected estimators and analyze their asymptotic properties. We also calculate the asymptotic biases of the non-corrected estimators for the AR(1) model to check up to what extent the measurement-error correction is needed. Finally, we carry out the Monte Carlo simulations to evaluate the performance of our estimators in finite samples.}, author = {Dolores}, citeulike-article-id = {2370410}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/S0304-4076(97)00015-8}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S0304-4076(97)00015-8}, citeulike-linkout-2 = {http://www.sciencedirect.com/science/article/B6VC0-3SX6H6S-2/2/04f0acf15aa0e6313f1ed7b163336f04}, doi = {10.1016/S0304-4076(97)00015-8}, journal = {Journal of Econometrics}, keywords = {cross, panel, section}, number = {1}, pages = {37--62}, posted-at = {2008-02-13 16:11:07}, priority = {2}, title = {Estimating dynamic models from time series of independent cross-sections}, url = {http://dx.doi.org/10.1016/S0304-4076(97)00015-8}, volume = {82}, year = {1997} }

TY - JOUR ID - citeulike:2370410 L3 - citeulike-article-id:2370410 N2 - The purpose of this paper is to analyze the estimation of dynamic models from time series of independent cross-sections. The population is divided into groups with fixed membership (cohorts) and the cohort sample means are used as a panel subject to measurement errors. We propose measurement-error corrected estimators and analyze their asymptotic properties. We also calculate the asymptotic biases of the non-corrected estimators for the AR(1) model to check up to what extent the measurement-error correction is needed. Finally, we carry out the Monte Carlo simulations to evaluate the performance of our estimators in finite samples. IS - 1 JF - Journal of Econometrics EP - 62 TI - Estimating dynamic models from time series of independent cross-sections VL - 82 SP - 37 KW - cross KW - panel KW - section AU - Dolores PY - 1997/// UR - http://dx.doi.org/10.1016/S0304-4076(97)00015-8 ER -