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Robust estimation of the structural errors-in-variables model

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Abstract

Robust alternatives to the method of moments estimator for estimating the simple structural errors-in-variables model are proposed. Consistency and asymptotic normality of the estimators are established. Using the influence curve the asymptotic variance is given. Results from a simulation experiment indicate a superior performance of robust alternatives to the method of moments estimator in a small sample framework when measurement errors are contaminated normal.

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Authors and Affiliations

  1. Department of Statistics, University of Umeå, S-90187, Umeå, Sweden

    H. Nyquist

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  1. H. Nyquist
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Additional information

Research reported in this paper was supported by a grant from Sundsvallsbanken.

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Nyquist, H. Robust estimation of the structural errors-in-variables model. Metrika 34, 177–183 (1987). https://doi.org/10.1007/BF02613146

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  • DOI: https://doi.org/10.1007/BF02613146

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