Nonparametric identification of the classical errors-in-variables model without side information
This note establishes that the fully nonparametric classical errors-in-variables model is identifiable from data on the regressor and the dependent variable alone, unless the specification is a member of a very specific parametric family. This family includes the linear specification with normally distributed variables as a special case. This result relies on standard primitive regularity conditions taking the form of smoothness and monotonicity of the regression function and nonvanishing characteristic functions of the disturbances.
|Date of creation:||16 Jul 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Arthur Lewbel, 1997. "Constructing Instruments for Regressions with Measurement Error when no Additional Data are Available, with an Application to Patents and R&D," Econometrica, Econometric Society, vol. 65(5), pages 1201-1214, September.
- Hausman, Jerry A. & Newey, Whitney K. & Ichimura, Hidehiko & Powell, James L., 1991. "Identification and estimation of polynomial errors-in-variables models," Journal of Econometrics, Elsevier, vol. 50(3), pages 273-295, December.
- Steven Klepper & Edward E. Leamer, 1982. "Consistent Sets of Estimates," UCLA Economics Working Papers 282, UCLA Department of Economics.
- Whitney Newey, 1999.
"Flexible Simulated Moment Estimation of Nonlinear Errors-in-Variables Models,"
99-02, Massachusetts Institute of Technology (MIT), Department of Economics.
- Whitney K. Newey, 2001. "Flexible Simulated Moment Estimation Of Nonlinear Errors-In-Variables Models," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 616-627, November.
- 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.
- Timothy Erickson & Toni M. Whited, 2000. "Measurement Error and the Relationship between Investment and q," Journal of Political Economy, University of Chicago Press, vol. 108(5), pages 1027-1057, October.
- Andrew Chesher, 2000. "Polynomial Regression with Normal Covariate Measurement Error," Econometric Society World Congress 2000 Contributed Papers 1911, Econometric Society.
- Yingyao Hu & Susanne Schennach, 2006. "Identification and estimation of nonclassical nonlinear errors-in-variables models with continuous distributions using instruments," CeMMAP working papers CWP17/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01.
- Geert Ridder & Yingyao Hu, 2004. "Estimation of Nonlinear Models with Measurement Error Using Marginal Information," Econometric Society 2004 North American Summer Meetings 21, Econometric Society.
- 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.
When requesting a correction, please mention this item's handle: RePEc:boc:bocoec:674. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.