Instrumental variable estimator of the slope parameter when the explanatory variable is subject to measurement error
Paper
Paper/Presentation Title | Instrumental variable estimator of the slope parameter when the explanatory variable is subject to measurement error |
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Presentation Type | Paper |
Authors | Saqr, Anwar (Author) and Khan, Shahjahan (Author) |
Editors | Ahmed, Munir |
Journal or Proceedings Title | Proceedings of the 11th Islamic Countries Conference on Statistical Sciences |
Journal Citation | 21, pp. 39-53 |
Number of Pages | 15 |
Year | 2012 |
Place of Publication | Lahore, Pakistan |
ISBN | 9789698858094 |
Web Address (URL) of Paper | https://old.isoss.net/downloads/Proc%20ICCS-11.pdf |
Web Address (URL) of Conference Proceedings | https://isoss.net/organization-2/ |
Conference/Event | 11th Islamic Countries Conference on Statistical Sciences |
Event Details | 11th Islamic Countries Conference on Statistical Sciences Parent Islamic Countries Conference on Statistical Sciences (ICCS) Delivery In person Event Date 19 to end of 22 Dec 2011 Event Location Lahore, Pakistan |
Abstract | This paper proposes a new instrumental variable to estimate the parameters of a simple linear regression model where the explanatory variable is subject to measurement error. The new instrumental variable is defined using reflection of the observed values of the explanatory variable. Like other instrumental variable estimators it is unbiased and consistent, but over performs estimators proposed by Wald (1940), Bartlett (1949), and Durbin (1954) if the ratio of the error variances is equal or less than one. The method is straightforward, easy to implement, and performs much better than the existing instrumental variable based estimators. The theoretical superiority of the proposed estimator over the existing instrumental variable based estimators is established by analytical results of simulation. Two illustrative examples for numerical comparisons of the results are also included. |
Keywords | regression parameters; measurement error models; instrumental variable; reflection of point; reliability ratio; sum of square error |
ANZSRC Field of Research 2020 | 490501. Applied statistics |
490510. Stochastic analysis and modelling | |
490509. Statistical theory | |
Byline Affiliations | Department of Mathematics and Computing |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q14v7/instrumental-variable-estimator-of-the-slope-parameter-when-the-explanatory-variable-is-subject-to-measurement-error
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