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A small sigma approach to certain problems in errors-in-variables models

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  • Hahn, Jinyong
  • Hausman, Jerry
  • Kim, Jeonghwan

Abstract

We propose a pragmatic approach to the errors-in-variables and nonlinear panel models. These models are often deemed impossible to estimate in their most general forms. For example, the higher order moments approach to errors-in-variables model fails when there is conditional heteroscedasticity. We propose estimating these models using approximate moments, using a Taylor series approximation applied to Kadane’s (1971) small sigma approach.

Suggested Citation

  • Hahn, Jinyong & Hausman, Jerry & Kim, Jeonghwan, 2021. "A small sigma approach to certain problems in errors-in-variables models," Economics Letters, Elsevier, vol. 208(C).
    • Handle: RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003712
    DOI: 10.1016/j.econlet.2021.110094
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    References listed on IDEAS

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    1. Timothy B. Armstrong & Michal Kolesár, 2021. "Sensitivity analysis using approximate moment condition models," Quantitative Economics, Econometric Society, vol. 12(1), pages 77-108, January.
    2. Amemiya, Yasuo, 1985. "Instrumental variable estimator for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 28(3), pages 273-289, June.
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    9. Amemiya, Yasuo, 1990. "Two-stage instrumental variables estimators for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 44(3), pages 311-332, June.
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    11. Aigner, Dennis J. & Hsiao, Cheng & Kapteyn, Arie & Wansbeek, Tom, 1984. "Latent variable models in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 23, pages 1321-1393, Elsevier.
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    Cited by:

    1. Andrei Zeleneev & Kirill Evdokimov, 2023. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 10/23, Institute for Fiscal Studies.
    2. Kirill S. Evdokimov & Andrei Zeleneev, 2023. "Simple Estimation of Semiparametric Models with Measurement Errors," Papers 2306.14311, arXiv.org, revised Mar 2024.
    3. Kirill Evdokimov & Andrei Zeleneev, 2024. "Simple estimation of semiparametric models with measurement errors," CeMMAP working papers 05/24, Institute for Fiscal Studies.

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    More about this item

    Keywords

    Errors-in-variables; Small sigma;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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