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Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives

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Author Info

  • Francois-Éric Racicot

    ()
    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

Abstract

Dans cet essai, nous présentons deux nouveaux estimateurs qui ont la propriété d’être convergents en présence d’erreurs de mesure sur les variables. Ces estimateurs sont basés sur les cumulants d’ordre deux et trois de la matrice des variables explicatives. Nous présentons également de nouveaux tests d’erreurs de mesure basés sur la procédure d’Hausman. Nous évaluons la performance échantillonnale de ces nouveaux estimateurs à l’aide d’expériences de Monte Carlo. Nos résultats préliminaires montrent qu’ils se comportent bien dans la mesure où la taille des erreurs de mesure est suffisamment importante.

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File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/a11g638FER.pdf
File Function: First version, 2007
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Bibliographic Info

Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp022007.

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Length: 82 pages
Date of creation: 01 Apr 2007
Date of revision:
Handle: RePEc:pqs:wpaper:022007

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Related research

Keywords: Erreurs de mesure; estimateurs convergents; moments supérieurs; régressions artificielles; test d’Hausman; variables instrumentales;

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Cited by:
  1. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

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