Identification of linear regressions with errors in all variables

DOI10.1017/S0266466620000250MaRDI QIDQ4959129zbMATH OpenOpenAlexFDO

Authors Dan Ben-Moshe

Publication date 10 September 2021

Published in Econometric Theory (Search for Journal in Brave)

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

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)

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.

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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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