Arbeitspapier

On the estimation of the linear relation when the error variances are known

The present article considers the problem of consistent estimation in measurement error models. A linear relation with not necessarily normally distributed measurement errors is considered. Three possible estimators which are constructed as different combinations of the estimators arising from direct and inverse regression are considered. The efficiency properties of these three estimators are derived and analyzed. The effect of non-normally distributed measurement errors is analyzed. A Monte-Carlo experiment is conducted to study the performance of these estimators in finite samples and the effect of a non-normal distribution of the measurement errors.

Language: Englisch

Bibliographic citation: Series: Discussion Paper ; No. 493

Event: Geistige Schöpfung

(who): Schneeweiss, Hans
Shalabh

Event: Veröffentlichung

(who): Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen

(where): München

(when): 2006

DOI: doi:10.5282/ubm/epub.1861

Handle: http://hdl.handle.net/10419/31098

URN: urn:nbn:de:bvb:19-epub-1861-6

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Schneeweiss, Hans
Shalabh
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen

Time of origin

2006

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On the estimation of the linear relation when the error variances are known

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Other Objects (12)

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