If you need an accessible version of this item please contact JSTOR User Support

Two-Step GMM Estimation of the Errors-in-Variables Model Using High-Order Moments

Timothy Erickson and Toni M. Whited
Econometric Theory
Vol. 18, No. 3 (Jun., 2002), pp. 776-799
Stable URL: http://www.jstor.org/stable/3533649
Page Count: 24
  • Download PDF
  • Cite this Item

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If you need an accessible version of this item please contact JSTOR User Support
Two-Step GMM Estimation of the Errors-in-Variables Model Using High-Order Moments
Preview not available

Abstract

We consider a multiple mismeasured regressor errors-in-variables model where the measurement and equation errors are independent and have moments of every order but otherwise are arbitrarily distributed. We present parsimonious two-step generalized method of moments (GMM) estimators that exploit overidentifying information contained in the high-order moments of residuals obtained by "partialling out" perfectly measured regressors. Using high-order moments requires that the GMM covariance matrices be adjusted to account for the use of estimated residuals instead of true residuals defined by population projections. This adjustment is also needed to determine the optimal GMM estimator. The estimators perform well in Monte Carlo simulations and in some cases minimize mean absolute error by using moments up to seventh order. We also determine the distributions for functions that depend on both a GMM estimate and a statistic not jointly estimated with the GMM estimate.

Page Thumbnails

  • Thumbnail: Page 
776
    776
  • Thumbnail: Page 
777
    777
  • Thumbnail: Page 
778
    778
  • Thumbnail: Page 
779
    779
  • Thumbnail: Page 
780
    780
  • Thumbnail: Page 
781
    781
  • Thumbnail: Page 
782
    782
  • Thumbnail: Page 
783
    783
  • Thumbnail: Page 
784
    784
  • Thumbnail: Page 
785
    785
  • Thumbnail: Page 
786
    786
  • Thumbnail: Page 
787
    787
  • Thumbnail: Page 
788
    788
  • Thumbnail: Page 
789
    789
  • Thumbnail: Page 
790
    790
  • Thumbnail: Page 
791
    791
  • Thumbnail: Page 
792
    792
  • Thumbnail: Page 
793
    793
  • Thumbnail: Page 
794
    794
  • Thumbnail: Page 
795
    795
  • Thumbnail: Page 
796
    796
  • Thumbnail: Page 
797
    797
  • Thumbnail: Page 
798
    798
  • Thumbnail: Page 
799
    799