中国科学院大学学报2018，Vol.35Issue(1)：1-9,9.DOI:10.7523/j.issn.2095-6134.2018.01.001
工具变量辅助的变系数测量误差模型的估计
Estimation of error-in-variable varying-coefficient model with auxiliary instrument variables
摘要
Abstract
In this work,we consider the estimation of the variable-coefficient model when the covariates are measured with error.We do not specify any model structure of the measurement error,and do not require the knowledge of the variance of measurement error.Furthermore,repeated measurement data are not necessary.With the help of the instrument variable,we calibrate the error and obtain an estimator of the true variable.We replace the true variable by its estimator and get an estimator of the coefficient function by applying the local linear smoothing method.We prove the asymptotic normality of the proposed estimator.The simulation results show that the proposed estimator performs better than the naive estimator.关键词
变系数模型/测量误差/工具变量/校正误差/渐近正态性Key words
variable-coefficient model/measurement error/instrument variable/error calibration/asymptotic normality分类
数理科学引用本文复制引用
刘智凡,王妙妙,谢田法,孙志华..工具变量辅助的变系数测量误差模型的估计[J].中国科学院大学学报,2018,35(1):1-9,9.基金项目
国家自然科学基金(11231010,11571340,U1430103)和中国科学院大数据挖掘与知识管理重点实验室开放课题资助 （11231010,11571340,U1430103）
