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A test for correlation between signal and noise within the errors in variables model
Université de Lausanne - HEC - DEEP
Cahiers de recherches économiques
Number of pages
When testing for measurement error, the vector of contrasts is the difference between the OLS and IV solutions. When testing for correlated measurement error, the OLS estimator must be replaced by a statistic which achieves consistency under the null hypothesis of uncorrelated measurement error. We propose one such estimator when one amongst several regressors is assumed to be measured with noise, and derive the related Hausman-type test.
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