仪器变量回归与测量误差和多重共线性

IF 0.1 Q4 STATISTICS & PROBABILITY

JIRSS-Journal of the Iranian Statistical Society Pub Date : 2020-12-01 DOI:10.52547/JIRSS.19.2.15

A. Sheikhi, Mohsen Rezapoor, Hamid Hoseenkhani

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引用次数: 0

摘要

．本文给出了两阶段参数最小二乘估计中仪器变量存在测量误差和多重共线性时的一致估计量。我们研究了所提估计量的渐近分布，并通过一些理论证明和仿真研究讨论了它的性质。还提供了一个实际的数值应用来进一步说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments

. In this paper we obtain a consistent estimator when there exist some measurement errors and multicollinearity in the instrumental variables in a two stage least square estimation of parameters. We investigate the asymptotic distribution of the proposed estimator and discuss its properties using some theoretical proofs and a simulation study. A real numerical application is also provided for more illustration.

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来源期刊

JIRSS-Journal of the Iranian Statistical Society STATISTICS & PROBABILITY-

CiteScore

1.50

自引率

0.00%

发文量