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Deriving Bounds on the Structural Vector when the Measurement Errors are Correlated: An Elaboration of the Frisch/Reiersol Approach

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  • Willasen, Y.

Abstract

In the general linear errors-in-variables model the main results have been derived under the assuption that the measurement errors are uncorrelated. However, as recognized by Bekker, Kapteyn and Wansbeek (BKW) (1997) and Lach (1993) this is often a problematic assumption to maintain in empirical applications since quite trivial variable transformations will often create correlation between the errors.

Suggested Citation

  • Willasen, Y., 1998. "Deriving Bounds on the Structural Vector when the Measurement Errors are Correlated: An Elaboration of the Frisch/Reiersol Approach," Memorandum 06/1998, Oslo University, Department of Economics.
    • Handle: RePEc:hhs:osloec:1998_006
    as

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    File URL: https://www.sv.uio.no/econ/english/research/unpublished-works/working-papers/pdf-files/1998/Memo-06-1998.pdf
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    References listed on IDEAS

    as
    1. Klepper, Steven & Leamer, Edward E, 1984. "Consistent Sets of Estimates for Regressions with Errors in All Variables," Econometrica, Econometric Society, vol. 52(1), pages 163-183, January.
    2. Lach, Saul, 1993. "Decomposition of Variables and Correlated Measurement Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(3), pages 715-725, August.
    3. Erickson, Timothy, 1993. "Restricting Regression Slopes in the Errors-in-Variables Model by Bounding the Error Correlation," Econometrica, Econometric Society, vol. 61(4), pages 959-969, July.
    4. Bekker, Paul & Kapteyn, Arie & Wansbeek, Tom, 1987. "Consistent Sets of Estimates for Regressions with Correlated or Uncorrelated Measurement Errors in Arbitrary Subsets of All Variables," Econometrica, Econometric Society, vol. 55(5), pages 1223-1230, September.
    5. Moran, P. A. P., 1971. "Estimating structural and functional relationships," Journal of Multivariate Analysis, Elsevier, vol. 1(2), pages 232-255, June.
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    More about this item

    Keywords

    ECONOMETRICS ; MODELS ; MEASUREMENT;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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