Fitting the errors-in-variables model using high-order cumulants and moments
Abstract. In this article, we consider a multiple mismeasured regressor
errors-in-variables model. We present xtewreg, a command for using
two-step generalized method of moments and minimum distance estimators that
exploit overidentifying information contained in high-order cumulants or
moments of the data. The command supports cumulant or moment estimation,
internal support for the bootstrap with moment condition recentering, an
arbitrary number of mismeasured regressors and perfectly measured regressors,
and cumulants or moments up to an arbitrary degree. We also demonstrate how to
use the estimators in the context of a corporate leverage regression.
View all articles by these authors:
Timothy Erickson, Robert Parham, Toni M. Whited
View all articles with these keywords:
xtewreg, errors-in-variables, high-order moments, high-order cumulants
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