Kirill S. Evdokimov, Andrei Zeleneev
arXiv 25 Jun 2023 · Econometrics · 4 citations (OpenAlex)
arXiv:2306.14311 · PDF · DOI · OpenAlex · Extracted main text
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured variables, which is typical for empirical applications. For any initial set of moment conditions our approach provides a "corrected" set of moment conditions that are robust to the EIV. We show that the GMM estimator based on these moments is root-n-consistent, with the standard tests and confidence intervals providing valid inference. This is true even when the EIV are so large that naive estimators (that ignore the EIV problem) are heavily biased with their confidence intervals having 0% coverage. Our approach involves no nonparametric estimation, which is especially important for applications with many covariates, and settings with multivariate or non-classical EIV. In particular, the approach makes it easy to use instrumental variables to address EIV in nonlinear models.
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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 | Susanne M. Schennach (2007) Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models | 0.811 | 4 | 2 | 100% |
| 2 | Evdokimov, Kirill S and Zeleneev, Andrei (2022) Nonparametric Identification and Estimation with Non-Classical Errors-in-Variables self | 0.737 | 3 | 2 | 100% |
| 3 | Chesher, Andrew and Schluter, Christian (2002) Welfare measurement and measurement error | 0.644 | 2 | 2 | 100% |
| 4 | Jerry A. Hausman and Hidehiko Ichimura and Whitney K. Newey and Jame… (1991) Identification and estimation of polynomial errors-in-variables models | 0.585 | 3 | 1 | 100% |
| 5 | Yasuo Amemiya (1985) Instrumental variable estimator for the nonlinear errors-in-variables model | 0.511 | 2 | 1 | 100% |
| 6 | Hu, Yingyao and Schennach, Susanne M (2008) Instrumental Variable Treatment of Nonclassical Measurement Error Models | 0.511 | 2 | 1 | 100% |
| 7 | Tong Li (2002) Robust and consistent estimation of nonlinear errors-in-variables models | 0.511 | 2 | 1 | 100% |
| 8 | Whitney K. Newey (2001) Flexible Simulated Moment Estimation of Nonlinear Errors-in-Variables Models | 0.511 | 2 | 1 | 100% |
| 9 | Susanne M. Schennach (2004) Estimation of Nonlinear Models with Measurement Error | 0.511 | 2 | 1 | 100% |
| 10 | Yasuo Amemiya (1990) Two-stage instrumental variables estimators for the nonlinear errors-in-variables model | 0.405 | 1 | 1 | 100% |
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