Please use this identifier to cite or link to this item:
Schneeweiss, Hans
Year of Publication: 
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 493
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: 
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.