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A Test for Correlation between Signal and Noise within the Errors in Variables Model

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  • Ramses H. ABUL NAGA

Abstract

When testing for measurement error, the vector of contrasts is the difference between the OLS and IV solutions. When testing for correlated measurement error, the OLS estimator must be replaced by a statistic which achieves consistency under the null hypothesis of uncorrelated measurement error. We propose one such estimator when one amongst several regressors is assumed to be measured with noise, and derive the related Hausman-type test.

Suggested Citation

  • Ramses H. ABUL NAGA, 2002. "A Test for Correlation between Signal and Noise within the Errors in Variables Model," Cahiers de Recherches Economiques du Département d'économie 02.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    • Handle: RePEc:lau:crdeep:02.08
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    More about this item

    Keywords

    errors in variables; correlated measurement error; consistent adjusted least squares; Hausman tests;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics

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