Estimation of Regression Coefficients in a Restricted Measurement Error Model Using Instrumental Variables

Abstract

The use of instrumental variable approach is extended in measurement error models to the case when regression coefficients are subjected to exact linear restrictions. Some consistent estimators of regression coefficients are obtained which satisfy the restrictions also. We do not make any assumption the distribution of measurement errors and they need not to have necessarily a normal distribution. The asymptotic properties of the estimators are studied. A simulation study is simultaneously conducted to investigate the finite sample properties and compare the efficiencies of the proposed estimators.

Keywords:

• Exact linear restrictions
• Instrumental variables
• Measurement errors
• Ultrastructural model

Mathematics Subject Classification:

• Primary 62J05
• Secondary 62H10, 62H12

Acknowledgment

The authors are thankful to the referee for valuable comments which improved exposition of the article.