TY - JOUR
T1 - Simultaneous treatment of unspecified heteroskedastic model error distribution and mismeasured covariates for restricted moment models
AU - Garcia, Tanya P.
AU - Ma, Yanyuan
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2017/10
Y1 - 2017/10
N2 - We develop consistent and efficient estimation of parameters in general regression models with mismeasured covariates. We assume the model error and covariate distributions are unspecified, and the measurement error distribution is a general parametric distribution with unknown variance–covariance. We construct root-n consistent, asymptotically normal and locally efficient estimators using the semiparametric efficient score. We do not estimate any unknown distribution or model error heteroskedasticity. Instead, we form the estimator under possibly incorrect working distribution models for the model error, error-prone covariate, or both. Empirical results demonstrate robustness to different incorrect working models in homoscedastic and heteroskedastic models with error-prone covariates.
AB - We develop consistent and efficient estimation of parameters in general regression models with mismeasured covariates. We assume the model error and covariate distributions are unspecified, and the measurement error distribution is a general parametric distribution with unknown variance–covariance. We construct root-n consistent, asymptotically normal and locally efficient estimators using the semiparametric efficient score. We do not estimate any unknown distribution or model error heteroskedasticity. Instead, we form the estimator under possibly incorrect working distribution models for the model error, error-prone covariate, or both. Empirical results demonstrate robustness to different incorrect working models in homoscedastic and heteroskedastic models with error-prone covariates.
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U2 - 10.1016/j.jeconom.2017.06.005
DO - 10.1016/j.jeconom.2017.06.005
M3 - Article
C2 - 29200600
AN - SCOPUS:85026542615
SN - 0304-4076
VL - 200
SP - 194
EP - 206
JO - Journal of Econometrics
JF - Journal of Econometrics
IS - 2
ER -