A test for correlation between signal and noise within the errors in variables model

Details

Serval ID
serval:BIB_B34D0239E9FD
Type
Report: a report published by a school or other institution, usually numbered within a series.
Publication sub-type
Working paper: Working papers contain results presented by the author. Working papers aim to stimulate discussions between scientists with interested parties, they can also be the basis to publish articles in specialized journals
Collection
Publications
Institution
Title
A test for correlation between signal and noise within the errors in variables model
Author(s)
Abul Naga R.
Institution details
Université de Lausanne - HEC - DEEP
Issued date
04/2002
Number
02.08
Genre
Cahiers de recherches économiques
Language
english
Number of pages
8
Abstract
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.
Create date
19/11/2007 11:45
Last modification date
20/08/2019 16:21
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