Collado, M. D.
Journal of Econometrics – 82 (1998): 37-62.

Keywords: Dynamic models, Panel data, Cohorts

Abstract: The purpose of this paper is to analyze the estimation of dynamic models from time series of independent cross-sections. The population is divided into groups with fixed membership (cohorts) and the cohort sample means are used as a panel subject to measurement errors. We propose measurement-error corrected estimators and analyze their asymptotic properties. We also calculate the asymptotic biases of the non-corrected estimators for the AR(l) model to check up to what extent the measurement-error correction is needed. Finally, we carry out the Monte Carlo simulations to evaluate the performance of our estimators in finite samples.