Instrumental variable estimator of the slope parameter when the explanatory variable is subject to measurement error

Saqr, Anwar and Khan, Shahjahan (2012) Instrumental variable estimator of the slope parameter when the explanatory variable is subject to measurement error. In: 11th Islamic Countries Conference on Statistical Sciences (ICCSS-11), 19-22 Dec 2011, 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.


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Item Type: Conference or Workshop Item (Commonwealth Reporting Category E) (Paper)
Refereed: Yes
Item Status: Live Archive
Additional Information: © 2012, Islamic Countries Society of Statistical Sciences. Fulltext reference: Saqr, A and Khan, S (2012). INSTRUMENTAL VARIABLE ESTIMATOR OF THE SLOPE PARAMETER WHEN THE EXPLANATORY VARIABLE IS SUBJECT TO MEASUREMENT ERROR, Proc. ICCS-11, Lahore, Pakistan, December 19-22, 2011, Vol. 21, pp. 39-53
Depositing User: Professor Shahjahan Khan
Faculty / Department / School: Historic - Faculty of Sciences - Department of Maths and Computing
Date Deposited: 15 May 2012 02:24
Last Modified: 03 Jul 2013 01:11
Uncontrolled Keywords: regression parameters; measurement error models; instrumental variable; reflection of point; reliability ratio; sum of square error
Fields of Research (FOR2008): 01 Mathematical Sciences > 0104 Statistics > 010401 Applied Statistics
01 Mathematical Sciences > 0104 Statistics > 010406 Stochastic Analysis and Modelling
01 Mathematical Sciences > 0104 Statistics > 010405 Statistical Theory
Socio-Economic Objective (SEO2008): E Expanding Knowledge > 97 Expanding Knowledge > 970101 Expanding Knowledge in the Mathematical Sciences
URI: http://eprints.usq.edu.au/id/eprint/21270

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