Arbeitspapier
Large sample theory in a semiparametric partially linear errors-in-variables models
We consider the partially linear model relating a response Y to predictors (X,T) with mean function XT ß + g (T) when the X's are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis (1994) leads to biased estimates of both the parameter ß and the function g(·) when measurement error is ignored. We derive a simple modification of their estimator which is a semiparametric version of the usual parametric correction for attenuation. The resulting estimator of ß is shown to be consistent and its asymptotic distribution theory is derived. Consistent standard error estimates using sandwich-type ideas are also developed.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1997,27
- Klassifikation
-
Wirtschaft
- Thema
-
Measurement Error
Errors-in-Variables
Functional Relations
Non-parametric Likelihood
Orthogonal Regression
Partially Linear Model
Semiparametric Models
Structural Relations
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Liang, Hua
Härdle, Wolfgang
Carroll, Raymond J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1997
- Handle
- URN
-
urn:nbn:de:kobv:11-10064133
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Liang, Hua
- Härdle, Wolfgang
- Carroll, Raymond J.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1997
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