Minimum distance estimation of the errors-in-variables model using linear cumulant equations

Timothy Erickson, Colin Huan Jiang and Toni Whited

Journal of Econometrics, 2014, vol. 183, issue 2, 211-221

Abstract: We consider a multiple mismeasured regressor errors-in-variables model. We develop closed-form minimum distance estimators from any number of estimating equations, which are linear in the third and higher cumulants of the observable variables. Using the cumulant estimators alters qualitative inference relative to ordinary least squares in two applications related to investment and leverage regressions. The estimators perform well in Monte Carlos calibrated to resemble the data from our applications. Although the cumulant estimators are asymptotically equivalent to the moment estimators from Erickson and Whited (2002), the finite-sample performance of the cumulant estimators exceeds that of the moment estimators.

Keywords: Errors-in-variables; Higher cumulants; Investment; Leverage (search for similar items in EconPapers)
JEL-codes: C15 C26 E22 G31 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (66)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:183:y:2014:i:2:p:211-221

DOI: 10.1016/j.jeconom.2014.05.011

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