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RecordNumber
3932
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Author
Sheikhi, Ayyub
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Crop_Body
Ayyub Sheikhi, Mohsen Rezapour, and Hamid Hoseinkhani
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Title of Article
Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments
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Title Of Journal
پژوهشنامه انجمن آمار ايران (JIRSS)
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PublishInfo
تهران :انجمن آمار ايران
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Publication Year
2020
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Volum
19
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Issue Number
2
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Page
15-31
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Keywords
Endogeneity , Shrinkage Estimators. , Measurement Error Models , Instrumental Variable , Two Stage Least Square
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Abstract
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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Link To Document :
