Semiparametric regression for measurement error model with heteroscedastic error

Mengyan Li, Yanyuan Ma and Runze Li

Journal of Multivariate Analysis, 2019, vol. 171, issue C, 320-338

Abstract: Covariate measurement error is a common problem. Improper treatment of measurement errors may affect the quality of estimation and the accuracy of inference. Extensive literature exists on homoscedastic measurement error models, but little research exists on heteroscedastic measurement. In this paper, we consider a general parametric regression model allowing for a covariate measured with heteroscedastic error. We allow both the variance function of the measurement errors and the conditional density function of the error-prone covariate given the error-free covariates to be completely unspecified. We treat the variance function using B-spline approximation and propose a semiparametric estimator based on efficient score functions to deal with the heteroscedasticity of the measurement error. The resulting estimator is consistent and enjoys good inference properties. Its finite-sample performance is demonstrated through simulation studies and a real data example.

Keywords: B-splines; Efficient score; Heteroscedasticity; Measurement error; Semiparametrics (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2018.12.012

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