Fitting the errors-in-variables model using high-order cumulants and moments

Timothy Erickson (), Robert Parham and Toni Whited
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Timothy Erickson: US Bureau of Labor Statistics

Stata Journal, 2017, vol. 17, issue 1, 116-129

Abstract: In this article, we consider a multiple mismeasured regressor errors-in-variables model. We present xtewreg, a command for using two-step generalized method of moments and minimum distance estimators that exploit overidentify- ing information contained in high-order cumulants or moments of the data. The command supports cumulant or moment estimation, internal support for the boot- strap with moment condition recentering, an arbitrary number of mismeasured regressors and perfectly measured regressors, and cumulants or moments up to an arbitrary degree. We also demonstrate how to use the estimators in the context of a corporate leverage regression.

Keywords: xtewreg; errors-in-variables; high-order moments; high-order cumulants (search for similar items in EconPapers)
Date: 2017
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