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变量含测量误差的回归模型中斜率的一致估计AI 解读

Consistent estimators for the slope coefficient in a regression model, where both variables are subject to errors, do not exist without some restrictions on the model. When the serial correlation of (lag 1) of the regression is known to be nonzero, one can obtain extra information from the first differences and get a consistent estimator for the slope. It turns out that this estimator is (asymptotically) equivalent to an estimator which uses as instrumental variable the…

变量含测量误差回归模型中斜率的一致估计AI 解读

Consistent estimators for the slope coefficient in a regression model, where both variables are subject to errors, do not exist without some restrictions on the model. When the serial correlation of (lag 1) of the regression is known to be nonzero, one can obtain extra information from the first differences and get a consistent estimator for the slope. It turns out that this estimator is (asymptotically) equivalent to an estimator which uses as instrumental variable the…