Instrumental Variables Regression with Measurement Errors and Multicollinearity in Instruments
نویسندگان
1 Department of Statistics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran.
2 epartment of Biostatistics and Data Science, School of Public Health, University of Texas Health Science Center at Houston (UTHealth), Houston, Texas, USA.
3 Department of Statistics, University of Birjand, Birjand, Iran.
doi
10.52547/jirss.19.2.15چکیده
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.
