期刊名称：Sankhya. Series A, mathematical statistics and probability
印刷版ISSN：0976-836X
电子版ISSN：0976-8378
出版年度：2007
卷号：69
期号：01
出版社：Indian Statistical Institute
摘要：Wansbeek (2001) proposed a generalized method of moments (GMM) framework for analysing static panel data with measurement error in one regressor, without requiring external information such as a validation or replicate data set. We follow Wansbeek (2001) and provide a corrected formula for the asymptotically optimal second-stage GMM estimator. Furthermore, we show that, in some important special cases, the first-stage unweighted GMM estimator is actually asymptotically optimal. Some Monte Carlo results are presented to examine the finite sample performance of the first-stage and second-stage GMM estimators.
