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Stochastische Überlagerung mit Hilfe der Mischungsverteilung

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  • Gerd Ronning

Abstract

The paper considers the effect of additive and multiplicative measurement errors on the estimation of linear models.We assume that such measurement errors have been applied to the micro data by purpose in order to protect them against re-identification. In particular measurement errors with a bimodal mixture distribution are analyzed. First the case of cross-section data is assumed. Then for panel data both the "naive' estimator ("within estimator", mixed effects estimator) and IV estimators are considered. In particular the effect of autocorrelation of regressors in short panels is discussed.

Suggested Citation

  • Gerd Ronning, 2009. "Stochastische Überlagerung mit Hilfe der Mischungsverteilung," IAW Discussion Papers 48, Institut für Angewandte Wirtschaftsforschung (IAW).
    • Handle: RePEc:iaw:iawdip:48
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    File URL: http://www.iaw.edu/RePEc/iaw/pdf/iaw_dp_48.pdf
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    References listed on IDEAS

    as
    1. Staudenmayer, John & Buonaccorsi, John P., 2005. "Measurement Error in Linear Autoregressive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 841-852, September.
    2. Patrick Sevestre & Laszlo Matyas, 2008. "The Econometrics of Panel Data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00279977, HAL.
    3. Douglas Staiger & James H. Stock, 1997. "Instrumental Variables Regression with Weak Instruments," Econometrica, Econometric Society, vol. 65(3), pages 557-586, May.
    4. László Mátyás & Patrick Sevestre (ed.), 2008. "The Econometrics of Panel Data," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75892-1, July-Dece.
    5. David B. Dunson & Clarice R. Weinberg, 2000. "Modeling Human Fertility in the Presence of Measurement Error," Biometrics, The International Biometric Society, vol. 56(1), pages 288-292, March.
    6. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-529, October.
    7. Pohlmeier, Winfried & Lechner, Sandra, 2003. "Schätzung ökonometrischer Modelle auf der Grundlage anonymisierter Daten," CoFE Discussion Papers 03/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    bimodal mixture distribution;

    JEL classification:

    • F2 - International Economics - - International Factor Movements and International Business
    • F43 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Economic Growth of Open Economies

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