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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/66252
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| Title: | | Large sample theory in a semiparametric partially linear errors-in-variables models  |
| Authors: | | Liang, Hua Härdle, Wolfgang Carroll, Raymond J. |
| Issue Date: | | 1997 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,27 |
| Abstract: | | 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. |
| Subjects: | | Measurement Error Errors-in-Variables Functional Relations Non-parametric Likelihood Orthogonal Regression Partially Linear Model Semiparametric Models Structural Relations |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10064133 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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