A small sigma approach to certain problems in errors-in-variables models

Jinyong Hahn, Jerry Hausman and Jeonghwan Kim

Economics Letters, 2021, vol. 208, issue C

Abstract: We propose a pragmatic approach to the errors-in-variables and nonlinear panel models. These models are often deemed impossible to estimate in their most general forms. For example, the higher order moments approach to errors-in-variables model fails when there is conditional heteroscedasticity. We propose estimating these models using approximate moments, using a Taylor series approximation applied to Kadane’s (1971) small sigma approach.

Keywords: Errors-in-variables; Small sigma (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003712

DOI: 10.1016/j.econlet.2021.110094

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