Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments

被引：0

作者：

Sheikhi, Ayyub ^{[1
]}

Rezapoor, Mohsen ^{[2
]}

Hoseinkhani, Hamid ^{[3
]}

机构：

[1] Shahid Bahonar Univ Kerman, Fac Math & Comp, Dept Stat, Kerman, Iran

[2] Univ Texas Hlth Sci Ctr Houston UTHlth, Sch Publ Hlth, Dept Biostat & Data Sci, Houston, TX USA

[3] Univ Birjand, Dept Stat, Birjand, Iran

来源：

JIRSS-JOURNAL OF THE IRANIAN STATISTICAL SOCIETY | 2020年 / 19卷 / 02期

关键词：

Endogeneity; Shrinkage Estimators; Measurement Error Models; Instrumental Variable; Two Stage Least Square; LINEAR STRUCTURAL RELATIONSHIP; GENERALIZED CROSS-VALIDATION; MENDELIAN RANDOMIZATION; RIDGE ESTIMATOR; MODELS; TESTS;

D O I：

10.52547/jirss.19.2.15

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：15 / 31

页数：17

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