Minimum distance estimation of the errors-in-variables model using linear cumulant equations

DOI10.1016/J.JECONOM.2014.05.011MaRDI QIDQ473243zbMATHOpenAlexFDO

Authors Timothy Erickson, Colin Huan Jiang, Toni M. Whited

Publication date 24 November 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2014.05.011

zbMATH Keywords

leverageinvestmenterrors-in-variableshigher cumulants

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Consistent moment estimators of regression coefficients in the presence of errors in variables
• Constructing Instruments for Regressions With Measurement Error When no Additional Data are Available, with An Application to Patents and R&D
• Consumption-based asset pricing with higher cumulants
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• Higher moment estimators for linear regression models with errors in the variables
• Identifiability of a Linear Relation between Variables Which Are Subject to Error
• Identification in the Linear Errors in Variables Model
• Measurement error and latent variables in econometrics
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• On the Asymptotic Bias of Wald-Type Estimators of a Straight Line when Both Variables are Subject to Error
• Panel Data Econometrics
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• TWO-STEP GMM ESTIMATION OF THE ERRORS-IN-VARIABLES MODEL USING HIGH-ORDER MOMENTS
• The Estimation of Economic Relationships using Instrumental Variables
• The Fitting of Straight Lines When both Variables are Subject to Error
• Wald Tests and Systems of Stochastic Equations

Cited in

(8)

• scientific article; zbMATH DE number 947418 (Why is no real title available?)
• Simulated minimum distance estimation of dynamic models with errors-in-variables
• Identification of linear regressions with errors in all variables
• EIV regression with bounded errors in data: total `least squares' with Chebyshev norm
• Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors
• Dynamic deconvolution and identification of independent autoregressive sources
• Measurement error in multiple equations: Tobin's \(q\) and corporate investment, saving, and debt
• Minimum distance estimation in linear models with long-range dependent errors

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