Analysis of interactive fixed effects dynamic linear panel regression with measurement error

This paper studies a simple dynamic linear panel regression model with interactive fixed effects in which the variable of interest is measured with error. To estimate the dynamic coefficient, we consider the least-squares minimum distance (LS-MD) estimation method.

► We study a dynamic panel linear regression model combining two noticeable features. ► First, individual effects take an interactive form instead of the time invariant form. ► Second, the variable of interest is not observed but measured with error. ► We propose a two-step least-squares minimum distance (LS-MD) estimation method.