Analysis of interactive fixed effects dynamic linear panel regression with measurement error

TL;DR

This paper investigates a dynamic linear panel regression model with interactive fixed effects and measurement error, proposing the LS-MD estimation method for the dynamic coefficient.

Contribution

It introduces the LS-MD estimation approach specifically designed for dynamic panel models with measurement error and interactive fixed effects.

Findings

Proposes LS-MD estimation for models with measurement error

Addresses estimation challenges in dynamic panels with fixed effects

Provides theoretical insights into the estimator's properties

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.