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Errors in Variables in Linear Systems

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  • Edward Leamer

    (UCLA)

Abstract

This paper extends the simple errors-in-variable bound to the setting of systems of equations. Both diagonal and nondiagonal measurement error covariance matrices are considered. In the nondiagonal case, the analogue of the simple errors-in-variable interval of estimates is an ellipsoid with diagonal equal to the line segment connecting t he direct least squares with a two-stage least-squares estimate. For the diagonal case, the set of estimates under some conditions must li e within the convex hull of 2k points. Copyright 1987 by The Econometric Society.

(This abstract was borrowed from another version of this item.)

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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 406.

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Date of creation: Jan 1906
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Handle: RePEc:cla:uclawp:406

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Web page: http://www.econ.ucla.edu/

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References

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  1. Bekker, P. & Kapteyn, A.J. & Wansbeek, T., 1985. "Consistent sets of estimates for regressions with correlated or uncorrelated measurement errors in arbitrary subsets of all variables," Research Memorandum 186, Tilburg University, Faculty of Economics and Business Administration.
  2. Leamer, Edward E, 1982. "Sets of Posterior Means with Bounded Variance Priors," Econometrica, Econometric Society, vol. 50(3), pages 725-36, May.
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Cited by:
  1. Christian Bontemps & Thierry Magnac & Eric Maurin, 2012. "Set Identified Linear Models," Econometrica, Econometric Society, vol. 80(3), pages 1129-1155, 05.
  2. Hu, Yingyao, 2006. "Bounding parameters in a linear regression model with a mismeasured regressor using additional information," Journal of Econometrics, Elsevier, vol. 133(1), pages 51-70, July.
  3. Hyslop, Dean R & Imbens, Guido W, 2001. "Bias from Classical and Other Forms of Measurement Error," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 475-81, October.
  4. Magnac, Thierry & Maurin, Eric, 2008. "Partial Identification in Binary Models: Discrete Regressors and Interval Data," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
  5. Carmichael, Benoît & Coën, Alain, 2008. "Asset pricing models with errors-in-variables," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 778-788, September.
  6. Erickson, Timothy & Whited, Toni M., 2005. "Proxy-quality thresholds: Theory and applications," Finance Research Letters, Elsevier, vol. 2(3), pages 131-151, September.
  7. Sadefo Kamdem, J. & Mbairadjim Moussa, A. & Terraza, M., 2012. "Fuzzy risk adjusted performance measures: Application to hedge funds," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 702-712.
  8. Magnac, Thierry & Maurin, Eric, 2004. "Partial Identification in Monotone Binary Models: Discrete Regressors and Interval Data," IDEI Working Papers 280, Institut d'Économie Industrielle (IDEI), Toulouse, revised Jan 2005.
  9. Magnac, Thierry, 2008. "Comment on the Identification Power in Games by Andres Aradilla-Lopez and Elie Tamer," Open Access publications from University of Toulouse 1 Capitole http://neeo.univ-tlse1.fr, University of Toulouse 1 Capitole.
  10. Rachida Hennani & Michel Terraza, 2012. "Value-at-Risk stressée chaotique d’un portefeuille bancaire," Working Papers 12-23, LAMETA, Universtiy of Montpellier, revised Sep 2012.
  11. Coën, Alain & Hübner, Georges, 2009. "Risk and performance estimation in hedge funds revisited: Evidence from errors in variables," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 112-125, January.
  12. Wegge, Leon L., 1996. "Local identifiability of the factor analysis and measurement error model parameter," Journal of Econometrics, Elsevier, vol. 70(2), pages 351-382, February.
  13. Hong, Han & Tamer, Elie, 2003. "A simple estimator for nonlinear error in variable models," Journal of Econometrics, Elsevier, vol. 117(1), pages 1-19, November.

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