Errors in Variables in Linear Systems.
This paper extends the simple errors-in-variable bound to the setting of systems of equations. Both diagonal and nondiagonal measurement error covariance matrices are considered. In the nondiagonal case, the analogue of the simple errors-in-variable interval of estimates is an ellipsoid with diagonal equal to the line segment connecting t he direct least squares with a two-stage least-squares estimate. For the diagonal case, the set of estimates under some conditions must li e within the convex hull of 2k points. Copyright 1987 by The Econometric Society.
Year of publication: |
1987
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Authors: | Leamer, Edward E |
Published in: |
Econometrica. - Econometric Society. - Vol. 55.1987, 4, p. 893-909
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Publisher: |
Econometric Society |
Saved in:
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