EconPapers    
Economics at your fingertips  
 

Method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models

Liqun Wang () and Cheng Hsiao

Journal of Econometrics, 2011, vol. 165, issue 1, 30-44

Abstract: This paper deals with a nonlinear errors-in-variables model where the distributions of the unobserved predictor variables and of the measurement errors are nonparametric. Using the instrumental variable approach, we propose method of moments estimators for the unknown parameters and simulation-based estimators to overcome the possible computational difficulty of minimizing an objective function which involves multiple integrals. Both estimators are consistent and asymptotically normally distributed under fairly general regularity conditions. Moreover, root-n consistent semiparametric estimators and a rank condition for model identifiability are derived using the combined methods of the nonparametric technique and Fourier deconvolution.

Keywords: Fourier deconvolution; Identifiability; Instrumental variables; Measurement error; Method of moments; Root-n consistency; Semiparametric estimator; Simulation-based estimator (search for similar items in EconPapers)
JEL-codes: C13 C14 C15 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407611000960
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:165:y:2011:i:1:p:30-44

DOI: 10.1016/j.jeconom.2011.05.004

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-03
Handle: RePEc:eee:econom:v:165:y:2011:i:1:p:30-44