Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments

Authors

  • Ayyub Sheikhi Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran.
  • Mohsen Rezapoor epartment of Biostatistics and Data Science, School of Public Health, University of Texas Health Science Center at Houston (UTHealth), Houston, Texas, USA.
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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Journal title

volume 19  issue 2

pages  15- 31

publication date 2020-12

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