Identification of linear regressions with errors in all variables

DOI10.1017/S0266466620000250zbMATH Open1473.62237arXiv1404.1473OpenAlexW3039136770MaRDI QIDQ4959129FDOQ4959129

Authors: Dan Ben-Moshe 

Publication date: 10 September 2021

Published in: Econometric Theory (Search for Journal in Brave)

Abstract: This paper analyzes the classical linear regression model with measurement errors in all the variables. First, we provide necessary and sufficient conditions for identification of the coefficients. We show that the coefficients are not identified if and only if an independent normally distributed linear combination of regressors can be transferred from the regressors to the errors. Second, we introduce a new estimator for the coefficients using a continuum of moments that are based on second derivatives of the log characteristic function of the observables. In Monte Carlo simulations, the estimator performs well and is robust to the amount of measurement error and number of mismeasured regressors. In an application to firm investment decisions, the estimates are similar to those produced by a generalized method of moments estimator based on third to fifth moments.

Full work available at URL: https://arxiv.org/abs/1404.1473

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zbMATH Keywords

linear regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) General considerations in statistical decision theory (62C05)

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Cited In (5)

• Identification in the Linear Errors in Variables Model
• Comment on Identification in the Linear Errors in Variables Model
• Discriminating between errors-in-variables/simultaneity and misspecification in linear regression models
• Dynamic deconvolution and identification of independent autoregressive sources
• Identifying an earnings process with dependent contemporaneous income shocks

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