Measurement error and deconvolution in spaces of generalized functions

DOI10.1017/S0266466614000140MaRDI QIDQ2936834zbMATH OpenOpenAlexFDO

Authors Victoria Zinde-Walsh

Publication date 7 January 2015

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1009.4217

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

Abstract: This paper considers convolution equations that arise from problems such as measurement error and non-parametric regression with errors in variables with independence conditions. The equations are examined in spaces of generalized functions to account for possible singularities; this makes it possible to consider densities for arbitrary and not only absolutely continuous distributions, and to operate with Fourier transforms for polynomially growing regression functions. Results are derived for identification and well-posedness in the topology of generalized functions for the deconvolution problem and for some regression models. Conditions for consistency of plug-in estimation for these models are derived.

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Cites work

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Cited in

(7)

• Identification of additive and polynomial models of mismeasured regressors without instruments
• Identification of joint distributions in dependent factor models
• Generalized Gaussian error functions and their applications
• Time-varying unobserved heterogeneity in earnings shocks
• Dynamic deconvolution and identification of independent autoregressive sources
• Heavy tail robust estimation and inference for average treatment effects
• Nonparametric errors in variables models with measurement errors on both sides of the equation

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