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Stochastische Überlagerung mit Hilfe der Mischungsverteilung

The paper considers the effect of additive and multiplicative measurement errors on the estimation of linear models.We assume that such measurement errors have been applied to the micro data by purpose in order to protect them against re-identification. In particular measurement errors with a bimodal mixture distribution are analyzed. First the case of cross-section data is assumed. Then for panel data both the "naive' estimator ("within estimator", mixed effects estimator) and IV estimators are considered. In particular the effect of autocorrelation of regressors in short panels is discussed.

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File URL: http://www.iaw.edu/RePEc/iaw/pdf/iaw_dp_48.pdf
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Paper provided by Institut für Angewandte Wirtschaftsforschung (IAW) in its series IAW Discussion Papers with number 48.

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Length: 170 pages
Date of creation: Mar 2009
Date of revision:
Handle: RePEc:iaw:iawdip:48
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  1. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
  2. repec:knz:cofedp:0304 is not listed on IDEAS
  3. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  4. Staudenmayer, John & Buonaccorsi, John P., 2005. "Measurement Error in Linear Autoregressive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 841-852, September.
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