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Estimation of nonlinear errors-in-variables models: a simulated minimum distance estimator

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  • Li, Tong
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    Abstract

    Hsiao (1989, J. Econometrics 41, 159-185) proposes a minimum distance estimator in estimating the structural nonlinear errors-in-varaibles models. We propose a simulated minimum distance estimator that is consistent and resolves the computational difficulty involved in the minimum distance estimator.

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    File URL: http://www.sciencedirect.com/science/article/B6V1D-3YNY9RG-4/2/ac5d16bdb2df951de038460b9674824f
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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 47 (2000)
    Issue (Month): 3 (April)
    Pages: 243-248

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    Handle: RePEc:eee:stapro:v:47:y:2000:i:3:p:243-248

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    Keywords: Structural models Consistency;

    References

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    1. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
    2. Hsiao, C., 1988. "Consistent Estimation For Some Nonlinear Errors-In- Variables Models," Papers m8810, Southern California - Department of Economics.
    3. Laffont, Jean-Jacques & Ossard, Herve & Vuong, Quang, 1995. "Econometrics of First-Price Auctions," Econometrica, Econometric Society, vol. 63(4), pages 953-80, July.
    4. Amemiya, Yasuo, 1985. "Instrumental variable estimator for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 28(3), pages 273-289, June.
    5. Hsiao, C., 1992. "Nonlinear Latent Variable Models," Papers 9211, Southern California - Department of Economics.
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    Cited by:
    1. Li, Tong & Hsiao, Cheng, 2004. "Robust estimation of generalized linear models with measurement errors," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 51-65.
    2. Joop Hartog & Luis Díaz-Serrano, 2007. "Earnings risk and demand for higher education: A cross-section test for Spain," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 1-28, May.
    3. Li, Tong, 2002. "Robust and consistent estimation of nonlinear errors-in-variables models," Journal of Econometrics, Elsevier, vol. 110(1), pages 1-26, September.

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