A small sigma approach to certain problems in errors-in-variables models

C-Tier
Journal: Economics Letters
Year: 2021
Volume: 208
Issue: C

Authors (3)

Hahn, Jinyong (University of California-Los A...) Hausman, Jerry (not in RePEc) Kim, Jeonghwan (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a pragmatic approach to the errors-in-variables and nonlinear panel models. These models are often deemed impossible to estimate in their most general forms. For example, the higher order moments approach to errors-in-variables model fails when there is conditional heteroscedasticity. We propose estimating these models using approximate moments, using a Taylor series approximation applied to Kadane’s (1971) small sigma approach.

Technical Details

RePEc Handle
repec:eee:ecolet:v:208:y:2021:i:c:s0165176521003712
Journal Field
General
Author Count
3
Added to Database
2026-01-25