Instrumental Variable Estimation of the Simple Errors-in-Variables Model

R. L. Carter, Wayne A. Fuller
1980 Journal of the American Statistical Association  
Alternative instrumental variable estimators for the slope in the simple errors in variables model are discussed. The modified limited information estimator is used to construct a randomly weighted average estimator similar to those studied by Huntsberger. The maximum likelihood estimator is derived for the case in which the error covariance is known to be zero. The limiting distributions of these estimators are obtained. The modified maximum likelihood estimators, the randomly weighted average
more » ... ly weighted average estimators and Feldstein's randomly weighted average estimator are compared in a Monte Carlo study. 1.
doi:10.2307/2287670 fatcat:lifrvyy44reknkcclxoreohfva