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Nonparametric Estimation of the Measurement Error Model Using Multiple Indicators

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Author Info
Li, Tong
Vuong, Quang
Abstract

This paper considers the nonparametric estimation of the densities of the latent variable and the error term in the standard measurement error model when two or more measurements are available. Using an identification result due to Kotlarski we propose a two-step nonparametric procedure for estimating both densities based on their empirical characteristic functions. We distinguish four cases according to whether the underlying characteristic functions are ordinary smooth or supersmooth. Using the loglog Law and von Mises differentials we show that our nonparametric density estimators are uniformly convergent. We also characterize the rate of uniform convergence in each of the four cases.

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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 65 (1998)
Issue (Month): 2 (May)
Pages: 139-165
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Handle: RePEc:eee:jmvana:v:65:y:1998:i:2:p:139-165

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Related research
Keywords: Measurement error model; multiple indicators; nonparametric density estimation; Fourier transformation; uniform convergence rate;

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