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Title:On the estimation of the linear relation when the error variances are known PDF Logo
Authors:Schneeweiss, Hans
Shalabh
Issue Date:2006
Series/Report no.:Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 493
Abstract: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.
Persistent Identifier of the first edition:urn:nbn:de:bvb:19-epub-1861-6
Document Type:Working Paper
Appears in Collections:Discussion papers, SFB 386, LMU München

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