Vector attenuation bias in the classical errors-in-variables model

DOI10.1016/0165-1765(95)00712-OMaRDI QIDQ1352219zbMATH OpenOpenAlexFDO

Authors Daniel B. Nelson

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00712-o

zbMATH Keywords

Errors in variablesMultivariate normalReverse regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Some statistical properties of the vector multiplicative error model
• Inference in heavy-tailed vector error correction models
• Estimation of the variance matrix in bivariate classical measurement error models
• Testing constancy of the error covariance matrix in vector models
• Determination of vector error correction models in high dimensions
• Bias assessment and reduction in linear error-correction models
• An improved bias-compensation approach for errors-in-variables model identification
• A Semiparametric Correction for Attenuation

Cites work

• scientific article; zbMATH DE number 3976184 (Why is no real title available?)
• scientific article; zbMATH DE number 3599370 (Why is no real title available?)
• Errors in the Variables Bias in the Presence of Correctly Measured Variables
• Extending the Classical Normal Errors-in-Variables Model
• Positive-definite matrices and their role in the study of the characteristic roots of general matrices

Cited in

(3)

• Generic consistency of the break-point estimators under specification errors in a multiple-break model
• Estimating the fractionally integrated process in the presence of measurement errors
• Errors in variables and reverse regression in the measurement of wage discrimination

Describes a project that uses

Uses Software

• GAUSS

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