Arbeitspapier
Identification and method of moments estimation in polynomial measurement error models
Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation models. Weak distributional assumptions are made for the error and the latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of the regressor and its measurement errors together with the coefficients of the polynomials are considered. A Generalized Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is presented. An illustration for systems of linear, quadratic and cubic Engel functions, with household consumption and income data is given.
- Language
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Englisch
- Bibliographic citation
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Series: Memorandum ; No. 01/2017
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Model Construction and Estimation
Macroeconomics: Consumption; Saving; Wealth
- Subject
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Errors in variables
Polynomial regression
Error distribution
Identification
Instrumental variables
Method of Moments
Engel functions
- Event
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Geistige Schöpfung
- (who)
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Biørn, Erik
- Event
-
Veröffentlichung
- (who)
-
University of Oslo, Department of Economics
- (where)
-
Oslo
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Biørn, Erik
- University of Oslo, Department of Economics
Time of origin
- 2017
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