Susanne Schennach () (Institute for Fiscal Studies and University of Chicago) Yingyao Hu Arthur Lewbel (Institute for Fiscal Studies and Boston College)
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This note establishes that the fully nonparametric classical errors-in-variables model is identifiable from data on the regressor and the dependent variable alone, unless the specification is a member of a very specific parametric family. This family includes the linear specification with normally distributed variables as a special case. This result relies on standard primitive regularity conditions taking the form of smoothness and monotonicity of the regression function and nonvanishing characteristic functions of the disturbances.
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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number
CWP14/07.
Length: Date of creation: Jul 2007 Date of revision: Handle: RePEc:ifs:cemmap:14/07
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