Errors in Variables in Linear Systems

Edward Leamer

Econometrica, 1987, vol. 55, issue 4, 893-909

Abstract: This paper extends the simple errors-in-variable bound to the setting of systems of equations. Both diagonal and nondiagonal measurement error covariance matrices are considered. In the nondiagonal case, the analogue of the simple errors-in-variable interval of estimates is an ellipsoid with diagonal equal to the line segment connecting t he direct least squares with a two-stage least-squares estimate. For the diagonal case, the set of estimates under some conditions must li e within the convex hull of 2k points. Copyright 1987 by The Econometric Society.

Date: 1987
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Working Paper: Errors in Variables in Linear Systems (1906)
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