Fitting the Errors-in-Variables Model Using High-Order Cumulants and Moments

Stata Journal (2017), 17(1), 116-129

20 Pages Posted:  

Timothy Erickson

U.S. Department of Labor - Bureau of Labor Statistics

Robert Parham

University of Virginia

Toni M. Whited

University of Michigan, Stephen M. Ross School of Business; National Bureau of Economic Research

Date Written: November 30, 2017

Abstract

In this article, we consider a multiple mismeasured regressor errors-in-variables model. We present xtewreg, a command for using two-step generalized method of moments and minimum distance estimators that exploit overidentifying information contained in high-order cumulants or moments of the data. The command supports cumulant or moment estimation, internal support for the bootstrap with moment condition recentering, an arbitrary number of mismeasured regressors and perfectly measured regressors, and cumulants or moments up to an arbitrary degree. We also demonstrate how to use the estimators in the context of a corporate leverage regression.

Keywords: xtewreg, errors-in-variables, high-order moments, high-order cumulants

Suggested Citation

Erickson, Timothy and Parham, Robert and Whited, Toni M., Fitting the Errors-in-Variables Model Using High-Order Cumulants and Moments (November 30, 2017). Stata Journal (2017), 17(1), 116-129. Available at SSRN: https://ssrn.com/abstract=

Timothy Erickson

U.S. Department of Labor - Bureau of Labor Statistics ( email )

2 Massachusetts Avenue, NE
Postal Square Building, Room 3105
Washington, DC 20212
United States
202-691-6575 (Phone)
202-691-6583 (Fax)

Robert Parham (Contact Author)

University of Virginia ( email )

1400 University Ave
Charlottesville, VA 22903
United States

HOME PAGE: http://kn.owled.ge

Toni M. Whited

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109
United States

National Bureau of Economic Research ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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