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- Gospodinov, Nikolay; Komunjer, Ivana; Ng, Serena
- Journal of econometrics 2017 v.200 no.2 pp. 181-193
- algorithms; dynamic models; econometric models; economic analysis; economic theory; empirical research; least squares; risk
- ... Empirical analysis often involves using inexact measures of the predictors suggested by economic theory. The bias created by the correlation between the mismeasured regressors and the error term motivates the need for instrumental variable estimation. This paper considers a class of estimators that can be used in dynamic models with measurement errors when external instruments may not be available ...