On the estimation of the linear relation when the error variances are known |
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| Authors: | H Schneeweiss |
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| Affiliation: | a Department of Statistics, University of Munich, 80799 Munich, Germany
b Department of Mathematics and Statistics, Indian Institute of Technology, Kanpur 208016, India |
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| Abstract: | The problem of consistent estimation in measurement error models in a linear relation with not necessarily normally distributed measurement errors is considered. Three possible estimators which are constructed as different combinations of the estimators arising from direct and inverse regression are considered. The efficiency properties of these three estimators are derived and the effect of non-normally distributed measurement errors is analyzed. A Monte-Carlo experiment is conducted to study the performance of these estimators in finite samples. |
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| Keywords: | Measurement error models Ultrastructural model Non-normal errors |
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