Correcting for Omitted-Variable and Measurement-Error Bias in Autoregressive Model Estimation with Panel Data

The parameter estimates based on an econometric equation are biased and can also be inconsistent when relevant regressors are omitted from the equation or when included regressors are measured with error. This problem gets complicated when the ‘true’ functional form of the equation is unknown. Here, we demonstrate how auxiliary variables, called… (More)