arXiv 11 Jan 2023 · Econometrics · publishedEconometric Reviews (2024)
arXiv:2301.04439 · PDF · DOI · OpenAlex · Extracted main text
It is customary to estimate error-in-variables models using higher-order moments of observables. This moments-based estimator is consistent only when the coefficient of the latent regressor is assumed to be non-zero. We develop a new estimator based on the divide-and-conquer principle that is consistent for any value of the coefficient of the latent regressor. In an application on the relation between investment, (mismeasured) Tobin's $q$ and cash flow, we find time periods in which the effect of Tobin's $q$ is not statistically different from zero. The implausibly large higher-order moment estimates in these periods disappear when using the proposed estimator.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Erickson, T., Jiang, C. H., and Whited, T. M (2014) Minimum distance estimation of the errors-in-variables model using linear cumulant equations | 1.000 | 13 | 3 | 100% |
| 2 | Geary, R. C (1942) Inherent relations between random variables | 1.000 | 6 | 3 | 100% |
| 3 | Erickson, T. and Whited, T. M (2000) Measurement error and the relationship between investment and $q$ | 0.811 | 4 | 2 | 100% |
| 4 | Erickson, T. and Whited, T. M (2002) Two-step GMM estimation of the errors-in-variables model using high-order moments | 0.811 | 4 | 2 | 100% |
| 5 | Erickson, T. and Whited, T. M (2012) Treating measurement error in Tobin's $q$ | 0.737 | 3 | 2 | 100% |
| 6 | Andrei, D., Mann, W., and Moyen, N (2019) Why did the $q$ theory of investment start working? | 0.644 | 2 | 2 | 100% |
| 7 | Lewbel, A (1997) Constructing instruments for regressions with measurement error when no additional data are available, with an application to pa… | 0.511 | 2 | 1 | 100% |
| 8 | Alon, N., Matias, Y., and Szegedy, M (1999) The space complexity of approximating the frequency moments | 0.405 | 1 | 1 | 100% |
| 9 | Angrist, J. D. and Krueger, A. B (1995) Split-sample instrumental variables estimates of the return to schooling | 0.405 | 1 | 1 | 100% |
| 10 | Banerjee, M., Durot, C., and Sen, B (2019) Divide and conquer in nonstandard problems and the super-efficiency phenomenon | 0.405 | 1 | 1 | 100% |
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