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GMM in linear regression for longitudinal data with multiple covariates measured with error. (English) Zbl 1511.62162

Summary: Z. Griliches and J. A. Hausman [“Errors in variables in panel data”, J. Econom. 31, No. 1, 93–118 (1986; doi:10.1016/0304-4076(86)90058-8)] and T. Wansbeek [J. Econom. 104, No. 2, 259–268 (2001; Zbl 1003.62096)] proposed using the generalized method of moments (GMM) to obtain consistent estimators in linear regression models for longitudinal data with measurement error in one covariate, without requiring additional validation or replicate data. For usefulness of this methodology, we must extend it to the more realistic situation where more than one covariate are measured with error. Such an extension is not straightforward, since measurement errors across different covariates may be correlated. By a careful construction of the measurement error correlation structure, we are able to extend Wansbeek’s GMM and show that the extended Griliches and Hausman’s GMM is equivalent to the extended Wansbeek’s GMM. For illustration, we apply the extended GMM to data from two medical studies, and compare it with the naive method and the method assuming only one covariate having measurement error.

MSC:

62J05 Linear regression; mixed models
62P10 Applications of statistics to biology and medical sciences; meta analysis

Citations:

Zbl 1003.62096

Software:

relibpls8; BLINPLUS
Full Text: DOI

References:

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