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A small sample estimator for a polynomial regression with errors in the variables

Author

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  • Chi‐Lun Cheng
  • Hans Schneeweiss
  • Markus Thamerus

Abstract

An adjusted least squares estimator, introduced by Cheng and Schneeweiss for consistently estimating a polynomial regression of any degree with errors in the variables, is modified such that it shows good results in small samples without losing its asymptotic properties for large samples. Simulation studies corroborate the theoretical findings.

Suggested Citation

  • Chi‐Lun Cheng & Hans Schneeweiss & Markus Thamerus, 2000. "A small sample estimator for a polynomial regression with errors in the variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(4), pages 699-709.
    • Handle: RePEc:bla:jorssb:v:62:y:2000:i:4:p:699-709
    DOI: 10.1111/1467-9868.00258
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    Citations

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    Cited by:

    1. Davidov, Ori & Griskin, Vladimir, 2008. "A note on constrained estimation in the simple linear measurement error model," Statistics & Probability Letters, Elsevier, vol. 78(5), pages 508-517, April.
    2. Garcia, Tanya P. & Ma, Yanyuan, 2017. "Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models," Journal of Econometrics, Elsevier, vol. 200(2), pages 194-206.
    3. Thomas Augustin & Helmut Küchenhoff & Matthias Schmid, 2022. "Nachruf Hans Schneeweiß," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 16(2), pages 149-154, June.
    4. Schneeweiss, Hans & Cheng, Chi-Lun, 2006. "Bias of the structural quasi-score estimator of a measurement error model under misspecification of the regressor distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(2), pages 455-473, February.
    5. Bryan E. Shepherd & Chang Yu, 2011. "Accounting for Data Errors Discovered from an Audit in Multiple Linear Regression," Biometrics, The International Biometric Society, vol. 67(3), pages 1083-1091, September.
    6. Arturo Zavala & Heleno Bolfarine & Mário Castro, 2007. "Consistent estimation and testing in heteroscedastic polynomial errors-in-variables models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(3), pages 515-530, September.

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