NPEIVREG: Stata module for estimation of nonparametric errors-in-variables (EIV) regression and construction of its uniform confidence band

Kengo Kato () and Yuya Sasaki
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Kengo Kato: Cornell University

Statistical Software Components from Boston College Department of Economics

Abstract: npeivreg executes estimation of nonparametric errors-in-variables (EIV) regression and construction of its uniform confidence band based on Kato and Sasaki (J. Econometrics, 2019). In addition to the dependent variable y, the command requires as input two measurements, x1 and x2, of the unobserved independent variable x with classical measurement errors, e1 = x1 - x and e2 = x2 - x, respectively. The output consists of a deconvolution estimate of the nonparametric EIV regression g(x) of y on x, and its uniform confidence band over a domain of x.

Language: Stata
Requires: Stata version 14.2
Keywords: errors-in-variables; nonparametric estimation; measurement error (search for similar items in EconPapers)
Date: 2020-05-27, Revised 2021-12-23
Note: This module should be installed from within Stata by typing "ssc install npeivreg". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/n/npeivreg.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/npeivreg.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/doctor_visit_male50.dta sample data file (application/x-stata)

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