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Instrumental variable approach to covariate measurement error in generalized linear models

机译:广义线性模型中用于协变量测量误差的工具变量方法

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摘要

The paper presents the method of moments estimation for generalized linear measurement error models using the instrumental variable approach. The measurement error has a parametric distribution that is not necessarily normal, while the distributions of the unobserved covariates are nonparametric. We also propose simulation-based estimators for the situation where the closed forms of the moments are not available. The proposed estimators are strongly consistent and asymptotically normally distributed under some regularity conditions. Finite sample performances of the estimators are investigated through simulation studies.
机译:本文提出了使用工具变量方法的广义线性测量误差模型的矩估计方法。测量误差的参数分布不一定是正态的,而未观察到的协变量的分布是非参数的。对于没有闭合形式的力矩的情况,我们还提出了基于仿真的估计器。所提出的估计量是强一致的,并且在某些规则性条件下渐近正态分布。通过模拟研究来研究估计量的有限样本性能。

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