Closed-form estimation of a regression model with a mismeasured binary regressor and heteroskedasticity

Yibin Liu and Wenbin Wu

Statistics & Probability Letters, 2017, vol. 125, issue C, 202-206

Abstract: This paper finds that heteroskedasticity in nonclassical error-in-variable models leads to biased and inconsistent estimates when higher-order moments of data are used. A closed-form estimator is provided to correct this bias based on information from the first three moments.

Keywords: Measurement error; Binary regressor; Heteroskedasticity (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:125:y:2017:i:c:p:202-206

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DOI: 10.1016/j.spl.2017.02.016

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