A Test for Correlation between Signal and Noise within the Errors in Variables Model

Ramses Abul Naga

Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie

Abstract: When testing for measurement error, the vector of contrasts is the difference between the OLS and IV solutions. When testing for correlated measurement error, the OLS estimator must be replaced by a statistic which achieves consistency under the null hypothesis of uncorrelated measurement error. We propose one such estimator when one amongst several regressors is assumed to be measured with noise, and derive the related Hausman-type test.

Keywords: errors in variables; correlated measurement error; consistent adjusted least squares; Hausman tests (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2002-04
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.hec.unil.ch/deep/textes/02.08.pdf (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:lau:crdeep:02.08

Access Statistics for this paper

More papers in Cahiers de Recherches Economiques du Département d'économie from Université de Lausanne, Faculté des HEC, Département d’économie Université de Lausanne, Faculté des HEC, Département d’économie, Internef, CH-1015 Lausanne. Contact information at EDIRC.
Bibliographic data for series maintained by Christina Seld ().