On the uniform convergence of deconvolution estimators from repeated measurements

Daisuke Kurisu and Taisuke Otsu

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This paper studies the uniform convergence rates of Li and Vuong's (1998, Journal of Multivariate Analysis 65, 139-165; hereafter LV) nonparametric deconvolution estimator and its regularized version by Comte and Kappus (2015, Journal of Multivariate Analysis 140, 31-46) for the classical measurement error model, where repeated noisy measurements on the error-free variable of interest are available. In contrast to LV, our assumptions allow unbounded supports for the error-free variable and measurement errors. Compared to Bonhomme and Robin (2010, Review of Economic Studies 77, 491-533) specialized to the measurement error model, our assumptions do not require existence of the moment generating functions of the square and product of repeated measurements. Furthermore, by utilizing a maximal inequality for the multivariate normalized empirical characteristic function process, we derive uniform convergence rates that are faster than the ones derived in these papers under such weaker conditions.

JEL-codes: J1 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2022-02-25
New Economics Papers: this item is included in nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Econometric Theory, 25, February, 2022, 38(1), pp. 172 - 193. ISSN: 1469-4360

Downloads: (external link)
http://eprints.lse.ac.uk/107533/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:107533

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().