Volume 19, Issue 2 (12-2020)                   JIRSS 2020, 19(2): 15-31 | Back to browse issues page

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Sheikhi A, Rezapoor M, Hoseenkhani H. Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments. JIRSS. 2020; 19 (2) :15-31
URL: http://jirss.irstat.ir/article-1-608-en.html
Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran. , sheikhy.a@uk.ac.ir
Abstract:   (304 Views)

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.

Full-Text [PDF 164 kb]   (111 Downloads)    
Type of Study: Original Paper | Subject: 62Jxx: Linear inference, regression
Received: 2019/08/17 | Accepted: 2021/04/17 | Published: 2020/12/11

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