Document Type

Article

Date

4-1-2008

Embargo Period

12-2-2011

Keywords

tbd

Disciplines

Economics

Description/Abstract

Deconvolution is a useful statistical technique for recovering an unknown density in the presence of measurement error. Typically, the method hinges on stringent assumptions about the nature of the measurement error, more specifically, that the distribution is entirely known. We relax this assumption in the context of a regression error component model and develop an estimator for the unknown density. We show semi-uniform consistency of the estimator and provide Monte Carlo evidence that demonstrates the merits of the method.

Additional Information

This manuscript is from the Social Science Research Network, for more information see http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1808987#280291

Source

Harvested from ssrn.com

Included in

Economics Commons

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