Semiparametric estimators of functional measurement error models with unknown error

We consider functional measurement error models where the measurement error distribution is estimated non-parametrically. We derive a locally efficient semiparametric estimator but propose not to implement it owing to its numerical complexity. Instead, a plug-in estimator is proposed, where the measurement error distribution is estimated through non-parametric kernel methods based on multiple measurements. The root "n" consistency and asymptotic normality of the plug-in estimator are derived. Despite the theoretical inefficiency of the plug-in estimator, simulations demonstrate its near optimal performance. Computational advantages relative to the theoretically efficient estimator make the plug-in estimator practically appealing. Application of the estimator is illustrated by using the Framingham data example. Copyright 2007 Royal Statistical Society.