On the use of repeated measurement errors in linear regression models

Mengli Zhang and Yang Bai ()
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Mengli Zhang: Shanghai University of Finance and Economics
Yang Bai: Shanghai University of Finance and Economics

Metrika: International Journal for Theoretical and Applied Statistics, 2021, vol. 84, issue 5, No 7, 779-803

Abstract: Abstract In a linear mean regression setting with repeated measurement errors, we develop asymptotic properties of a naive estimator to better clarify the effects of these errors. We then construct a group of unbiased estimating equations with independent repetitions and make use of these equations in two ways to obtain two estimators: a weighted averaging estimator and an estimator based on the generalized method of moments. The proposed estimators do not require any additional information about the measurement errors. We also prove the consistency and asymptotic normality of the two estimators. Our theoretical results are verified by simulation studies and a real data analysis.

Keywords: Measurement error; Estimating equation; GMM (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00184-020-00801-2

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