IDEAS home Printed from https://ideas.repec.org/a/bla/stanee/v41y1987i4p223-238.html
   My bibliography  Save this article

Regression with errors in variables: estimators based on third order moments

Author

Listed:
  • K. van Montfort
  • A. Mooijaart
  • J. de Leeuw

Abstract

In this paper consistent and, in a well–defined sense, optimal moment–estimators of the regression coefficient in a simple regression model with errors in variables are derived. The asymptotic variance and other asymptotic properties of these estimators are given. As is known for a long time, serious estimation problems exist in this model. There are two ways out of this problem: using either additional assumptions or additional information in the data. A lot of attention has been paid to the use of additional assumptions. However, quite often this leads to rather unrealistic models. In this paper we use additional information in the data. That means here that, besides first and second order moments, third order moments are formulated as functions of the model parameters. Besides theoretical derivations a small study with generated data is discussed. This study shows that for samples larger than 50 the estimates we consider behave nicely.

Suggested Citation

  • K. van Montfort & A. Mooijaart & J. de Leeuw, 1987. "Regression with errors in variables: estimators based on third order moments," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 41(4), pages 223-238, December.
    • Handle: RePEc:bla:stanee:v:41:y:1987:i:4:p:223-238
    DOI: 10.1111/j.1467-9574.1987.tb01215.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9574.1987.tb01215.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9574.1987.tb01215.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M., 2014. "Minimum distance estimation of the errors-in-variables model using linear cumulant equations," Journal of Econometrics, Elsevier, vol. 183(2), pages 211-221.
    2. Biørn, Erik, 2017. "Identification and Method of Moments Estimation in Polynomial Measurement Error Models," Memorandum 01/2017, Oslo University, Department of Economics.
    3. Paris, Quirino, 2014. "A Dual Least-Squares Estimator of the Errors-In-Variables Model Using Only First And Second Moments," Working Papers 181288, University of California, Davis, Department of Agricultural and Resource Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:stanee:v:41:y:1987:i:4:p:223-238. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0039-0402 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.