Fitting the errors-in-variables model using high-order cumulants and moments

• Timothy Erickson ^[3] ; Robert Parham ^[1] ; Toni M. Whited ^[2]
  1. [1] University of Rochester

     University of Rochester

     City of Rochester, Estados Unidos

     
  2. [2] University of Michigan–Ann Arbor

     University of Michigan–Ann Arbor

     City of Ann Arbor, Estados Unidos

     
  3. [3] Bureau of Labor Statistics

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• Localización: The Stata journal, ISSN 1536-867X, Vol. 17, Nº. 1, 2017, págs. 116-129
• Idioma: inglés
• DOI: 10.1177/1536867x1701700107
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this article, we consider a multiple mismeasured regressor errors-in-variables model. We present xtewreg, a command for using two-step generalized method of moments and minimum distance estimators that exploit overidentifying information contained in high-order cumulants or moments of the data. The command supports cumulant or moment estimation, internal support for the bootstrap with moment condition recentering, an arbitrary number of mismeasured regressors and perfectly measured regressors, and cumulants or moments up to an arbitrary degree. We also demonstrate how to use the estimators in the context of a corporate leverage regression