Errors-In-Variables Models: A Generalized Functions Approach
AbstractIdentification in errors-in-variables regression models was recently extended to wide models classes by S. Schennach (Econometrica, 2007) (S) via use of generalized functions. In this paper the problems of non- and semi- parametric identification in such models are re-examined. Nonparametric identification holds under weaker assumptions than in (S); the proof here does not rely on decomposition of generalized functions into ordinary and singular parts, which may not hold. Conditions for continuity of the identification mapping are provided and a consistent nonparametric plug-in estimator for regression functions in the L₁ space constructed. Semiparametric identification via a finite set of moments is shown to hold for classes of functions that are explicitly characterized; unlike (S) existence of a moment generating function for the measurement
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Bibliographic InfoPaper provided by McGill University, Department of Economics in its series Departmental Working Papers with number 2009-09.
Length: 37 pages
Date of creation: Sep 2009
Date of revision:
Other versions of this item:
- ZINDE-WALSH, Victoria, 2007. "Errors-in-Variables Models : A Generalized Functions Approach," Cahiers de recherche 14-2007, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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