Identification and Method of Moments Estimation in Polynomial Measurement Error Models

Erik Biorn

No 01/2017, Memorandum from Oslo University, Department of Economics

Abstract: Estimation of polynomial regression equations in one error-ridden variable and a number of error-free regressors, as well as an instrument set for the former is considered. Procedures for identification, operating on moments up to a certain order, are elaborated for single- and multi-equation models. Weak distributional assumptions are made for the error and the latent regressor. Simple order-conditions are derived, and procedures involving recursive identification of the moments of the regressor and its measurement errors together with the coefficients of the polynomials are considered. A Generalized Method of Moments (GMM) algorithm involving the instruments and proceeding stepwise from the identification procedures, is presented. An illustration for systems of linear, quadratic and cubic Engel functions, with household consumption and income data is given.

Keywords: Errors in variables; Polynomial regression; Error distribution; Identification; Instrumental variables; Method of Moments; Engel functions (search for similar items in EconPapers)
JEL-codes: C21 C23 C31 C33 C51 E21 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2017-01-30
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-ore
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