Estimation with unbalanced panel data having covariate measurement error |
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Authors: | Jun Shao Zhiguo XiaoRuifeng Xu |
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Institution: | a School of Finance and Statistics, East China Normal University, China b Department of Statistics, School of Management, Fudan University, China c Department of Health Economic Statistics, Merck Research Laboratories, USA |
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Abstract: | Panel data with covariate measurement error appear frequently in various studies. Due to the sampling design and/or missing data, panel data are often unbalanced in the sense that panels have different sizes. For balanced panel data (i.e., panels having the same size), there exists a generalized method of moments (GMM) approach for adjusting covariate measurement error, which does not require additional validation data. This paper extends the GMM approach of adjusting covariate measurement error to unbalanced panel data. Two health related longitudinal surveys are used to illustrate the implementation of the proposed method. |
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Keywords: | Unbalanced panel data Measurement error Generalized method of moments Weighted method of moments Nonignorable missingness |
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