Measurement error in the linear dynamic panel data model

Erik Meijer, Laura Spierdijk, Tom Wansbeek

Research output: Chapter in Book/Report/Conference proceedingChapterAcademicpeer-review


Many time series contain measurement (often sampling) error and the problem of assessing the impacts of such errors and accounting for them has been receiving increasing attention of late. This paper provides a survey of this problem with an emphasis on estimating the coefficients of the underlying dynamic model, primarily in the context of fitting linear and nonlinear autoregressive models. An overview is provided of the biases induced by ignoring the measurement error and of methods that have been proposed to correct for it, and remaining inferential challenges are outlined.
Original languageEnglish
Title of host publicationISS-2012 Proceedings Volume On Longitudinal Data Analysis Subject to Measurement Errors, Missing Values, and/or Outliers
EditorsBrajendra C. Sutradhar
Place of PublicationNew York
Number of pages16
ISBN (Electronic)978-1-4614-6871-4
ISBN (Print)978-1-4614-6870-7
Publication statusPublished - 2013
Externally publishedYes

Publication series

NameLecture Notes in Statistics


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