Estimation in linear regression models with measurement errors subject to single-indexed distortion

Authors:
Jun Zhang;Yujie Gai;Ping Wu
Affiliations:
Shenzhen-Hong Kong Joint Research Centre for Applied Statistical Sciences, Shenzhen University, Shenzhen, Guangdong Province, China;School of Economics, Central University of Finance and Economics, Beijing, China;School of Finance and Statistics, East China Normal University, Shanghai, China
Venue:
Computational Statistics & Data Analysis
Year:
2013

Citing 4
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Abstract

In this paper, we consider statistical inference for linear regression models when neither the response nor the predictors can be directly observed, but are measured with errors in a multiplicative fashion and distorted as single index models of observable confounding variables. We propose a semiparametric profile least squares estimation procedure to estimate the single index. Then we develop a global weighted least squares estimation procedure for parameters of linear regression models via the varying coefficient models. Asymptotic properties of the proposed estimators are established. The results combined with consistent estimators for the asymptotic variance can be employed to test whether the targeted parameters in the single index and linear regression models are significant. Finite-sample performance of the proposed estimators is assessed by simulation experiments. The proposed methods are also applied to a dataset from a Pima Indian diabetes data study.