Robust estimation of the structural errors-in-variables model (Q1091059)
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scientific article; zbMATH DE number 4009557
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimation of the structural errors-in-variables model |
scientific article; zbMATH DE number 4009557 |
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Robust estimation of the structural errors-in-variables model (English)
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1987
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Robust alternatives of the method of moments estimator for estimating the simple structural errors-in-variables model are proposed. Consistency and asymptotic normality of the estimators are established. Using the influence curve the asymptotic variance is given. Results from a simulation experiment indicate a superior performance of robust alternatives to the method of moments estimator in a small sample framework when measurement errors are contaminated normal.
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robust estimation
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structural errors-in-variables model
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Consistency
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asymptotic normality
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influence curve
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asymptotic variance
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method of moments
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0.95317703
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0.9447068
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0.9264212
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0.9186573
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0.9146678
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0.9121748
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0.90830046
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