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dc.contributor.authorAndersson, Jonas
dc.contributor.authorMøen, Jarle
dc.date.accessioned2009-10-19T11:39:29Z
dc.date.available2009-10-19T11:39:29Z
dc.date.issued2009-09
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163981
dc.description.abstractTwo measures of an error-ridden explanatory variable make it possible to solve the classical errors-in-variable problem by using one measure as an instrument for the other. It is well known that a second IV estimate can be obtained by reversing the roles of the two measures. We explore a simple estimator that is the linear combination of these two estimates, that minimizes the asymptotic mean squared error. In a Monte Carlo study we show that the gain in precision is signifcant compared to using only one of the original IV estimates. The proposed estimator also compares well with full information maximum likelihood under normality.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2009:10en
dc.subjectmeasurement errorsen
dc.subjectclassical errors-in-variablesen
dc.subjectmultiple indicator methoden
dc.subjectinstrumental variable techniquesen
dc.titleA simple improvement of the IV estimator for the classical errors-in-variables problemen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en


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