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Consistent moment estimators of regression coefficients in the presence of errors in variables

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  • Pal, Manoranjan

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  • Pal, Manoranjan, 1980. "Consistent moment estimators of regression coefficients in the presence of errors in variables," Journal of Econometrics, Elsevier, vol. 14(3), pages 349-364, December.
  • Handle: RePEc:eee:econom:v:14:y:1980:i:3:p:349-364
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    References listed on IDEAS

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    1. Peter K. Clark & Sung Y. Kwack, 1976. "Asset markets and interest rate determination in the multi-country model," International Finance Discussion Papers 94, Board of Governors of the Federal Reserve System (U.S.).
    2. Richard Berner & Peter K. Clark & Ernesto Hernandez-Cata & Howard Howe & Sung Y. Kwack & Guy V. G. Stevens, 1977. "A multi-country model of the international influences on the U.S. economy: preliminary results," International Finance Discussion Papers 115, Board of Governors of the Federal Reserve System (U.S.).
    3. Guy V. G. Stevens, 1976. "Alternatives for modeling the world outside the United States," International Finance Discussion Papers 96, Board of Governors of the Federal Reserve System (U.S.).
    4. Richard Berner & Peter K. Clark & Howard Howe & Sung Y. Kwack & Guy V. G. Stevens, 1976. "Modeling the international influences on the U.S. economy: a multi- country approach," International Finance Discussion Papers 93, Board of Governors of the Federal Reserve System (U.S.).
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    Citations

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    Cited by:

    1. Denyse L. Dagenais & Marcel Dagenais, 1995. "Higher Moment Estimators for Linear Regression Models With Errors in the Variables," CIRANO Working Papers 95s-13, CIRANO.
    2. J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, March.
    3. Bonhomme, Stphane & Robin, Jean-Marc, 2009. "Consistent noisy independent component analysis," Journal of Econometrics, Elsevier, vol. 149(1), pages 12-25, April.
    4. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 30-43, February.
    5. Erickson, Timothy & Jiang, Colin Huan & Whited, Toni M., 2014. "Minimum distance estimation of the errors-in-variables model using linear cumulant equations," Journal of Econometrics, Elsevier, vol. 183(2), pages 211-221.
    6. Dagenais, Marcel G. & Dagenais, Denyse L., 1997. "L’estimation de modèles de régression linéaire autorégressifs avec erreurs résiduelles autocorrélées et erreurs sur les variables," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 507-523, mars-juin.
    7. Jean-Louis ARCAND & Marcel DAGENAIS, 2005. "Errors in Variables and the Empirics of Economic Growth," Working Papers 200536, CERDI.
    8. repec:kap:iaecre:v:15:y:2009:i:1:p:30-43 is not listed on IDEAS
    9. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.
    10. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
    11. repec:eee:econom:v:200:y:2017:i:2:p:169-180 is not listed on IDEAS
    12. Marcel G. Dagenais, 1992. "Pièges et limitations de l'analyse micro-économétrique," Économie et Prévision, Programme National Persée, vol. 102(1), pages 1-9.
    13. Carmichael, Benoît & Coën, Alain, 2008. "Asset pricing models with errors-in-variables," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 778-788, September.
    14. Yingyao Hu & Arthur Lewbel & Susanne M. Schennach, 2007. "Nonparametric identification of the classical errors-in-variables model without side information," CeMMAP working papers CWP14/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    15. Dagenais, Marcel G. & Dagenais, Denyse L., 1997. "Higher moment estimators for linear regression models with errors in the variables," Journal of Econometrics, Elsevier, vol. 76(1-2), pages 193-221.
    16. Paris, Quirino, 2014. "A Dual Least-Squares Estimator of the Errors-In-Variables Model Using Only First And Second Moments," Working Papers 181288, University of California, Davis, Department of Agricultural and Resource Economics.
    17. P. Bentler, 1983. "Some contributions to efficient statistics in structural models: Specification and estimation of moment structures," Psychometrika, Springer;The Psychometric Society, vol. 48(4), pages 493-517, December.
    18. repec:eee:econom:v:200:y:2017:i:2:p:181-193 is not listed on IDEAS
    19. Coën, Alain & Hübner, Georges, 2009. "Risk and performance estimation in hedge funds revisited: Evidence from errors in variables," Journal of Empirical Finance, Elsevier, vol. 16(1), pages 112-125, January.
    20. Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.
    21. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
    22. Meijer, Erik & Spierdijk, Laura & Wansbeek, Tom, 2017. "Consistent estimation of linear panel data models with measurement error," Journal of Econometrics, Elsevier, vol. 200(2), pages 169-180.
    23. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.

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