JSM 2004 - Toronto

Abstract #301505

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Activity Number: 54
Type: Contributed
Date/Time: Sunday, August 8, 2004 : 4:00 PM to 5:50 PM
Sponsor: General Methodology
Abstract - #301505
Title: Robust Instrumental Variable Estimator for Measurement Error Models
Author(s): Gabriela Cohen-Freue*+ and Ruben Zamar
Companies: University of Maryland, College Park and University of British Columbia
Address: , , ,
Keywords: instrumental variables estimator ; robust diagnostic ; measurement error models ; S-estimators ; robust estimator
Abstract:

This paper examines robust estimation in linear models with measurement errors. We derive robust instrumental variables (RIV) estimators using high breakdown point S-estimators of multivariate location and scatter matrix. The resulting estimator has bounded influence function and is in the class of weighted instrumental variables estimators. Moreover, this estimator is computationally inexpensive and a natural extension of the ordinary instrumental variables estimator. The asymptotic variances of the parameter estimates are also obtained and estimated. In addition, we construct a diagnostic tool to flag outliers and leverage points for the errors in variables models when instrumental variables are available. An illustration of the performance of our estimator is given by a numerical example.

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