Title of article :
Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments
Author/Authors :
Sheikhi, Ayyub Department of Statistics - Faculty of Mathematics and Computer - Shahid Bahonar University of Kerman , Rezapour, Mohsen Department of Biostatistics and Data Science - School of Public Health - University of Texas Health Science Center at Houston (UTHealth), Texas, USA , Hoseinkhani, Hamid Department of Statistics - University of Birjand
Abstract :
In this paper we obtain a consistent estimator when there exist some measurement errors and multicollinearity in the instrumental variables in a two stage least square estimation of parameters. We investigate the asymptotic distribution of the proposed estimator and discuss its properties using some theoretical proofs and a simulation study. A real numerical application is also provided for more illustration.
Keywords :
Endogeneity , Shrinkage estimators , Measurement error models , Instrumental variable , Two stage least square
Journal title :
Journal of the Iranian Statistical Society (JIRSS)
