Bias of the structural quasi-score estimator of a measurement error model under misspecification of the regressor distribution

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Bias of the Quasi Score Estimator of a Measurement Error Model Under Misspecification of the Regressor Distribution

In a structural error model the structural quasi score (SQS) estimator is based on the distribution of the latent regressor variable. If this distribution is misspecified the SQS estimator is (asymptotically) biased. Two types of misspecification are considered. Both assume that the statistician erroneously adopts a normal distribution as his model for the regressor distribution. In the first t...

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ژورنال

عنوان ژورنال: Journal of Multivariate Analysis

سال: 2006

ISSN: 0047-259X

DOI: 10.1016/j.jmva.2005.03.010