Evdokimov, Kirill S.; Zeleneev, Andrei - 2022 - This version: 2022/02/22
We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments … (GMM) framework. We focus on the settings in which the variance of the measurement errors is a fraction of that of the … approach requires no nonparametric estimation, which can be particularly useful when the measurement errors are multivariate …