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Liang, Hua
Härdle, Wolfgang
Carroll, Raymond J.
Year of Publication: 
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,27
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.
Measurement Error
Functional Relations
Non-parametric Likelihood
Orthogonal Regression
Partially Linear Model
Semiparametric Models
Structural Relations
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Working Paper

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