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Covariate Measurement Error in Quadratic Regression

Author

Listed:
  • Kuha, J.
  • Temple, J.

Abstract

We consider quadratic regression models where the explanatory variable is measured with error. The effect of classical measurement error is to flatten the curvature of the estimated function. The effect on the observed turning point depends on the location of the true turning point relative to the population mean of the true predictor. Two methods for adjusting parameter estimates for the measurement error are compared. First, two versions of regression calibration estimation are considered. The second approach uses moment-based methods which require no assumptions about the distribution of the covariates measured with error.

Suggested Citation

  • Kuha, J. & Temple, J., 1999. "Covariate Measurement Error in Quadratic Regression," Economics Papers 1999-w2, Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:1999-w2
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    Cited by:

    1. Paolo Surico, 2002. "Inflation Targeting and Nonlinear Policy Rules: the Case of Asymmetric Preferences," Macroeconomics 0210002, EconWPA, revised 23 Feb 2004.
    2. Sourafel Girma, 2005. "Absorptive Capacity and Productivity Spillovers from FDI: A Threshold Regression Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(3), pages 281-306, June.
    3. Sergiy Shklyar & Hans Schneeweiss & Alexander Kukush, 2007. "Quasi Score is more Efficient than Corrected Score in a Polynomial Measurement Error Model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(3), pages 275-295, May.
    4. 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.
    5. Paolo Surico, 2004. "Inflation Targeting and Nonlinear Policy Rules: The Case of Asymmetric Preferences (new title: The Fed's monetary policy rule and U.S. inflation: The case of asymmetric preferences)," CESifo Working Paper Series 1280, CESifo Group Munich.

    More about this item

    Keywords

    ECONOMETRICS ; REGRESSION ANALYSIS;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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