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Polynomial regression with errors in the variables

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Abstract:

A polynomial functional relationship with errors in both variables can be consistently estimated by constructing an ordinary least squares estimator for the regression coefficients, assuming hypothetically the latent true regressor variable to be known, and then adjusting for the errors. If normality of the error variables can be assumed, the estimator can be simplified considerably. Only the variance of the errors in the regressor variable and its covariance with the errors of the response variable need to be known. If the variance of the errors in the dependent variable is also known, another estimator can be constructed.

Keywords: Adjusted least squares; Errors in variables; Estimating equations; Functional relationship; Method of moments; Polynomial regression

Document Type: Original Article

DOI: http://dx.doi.org/10.1111/1467-9868.00118

Affiliations: 1: Academia Sinica, Taipei, Republic of China, 2: University of Munich, Germany

Publication date: January 1, 1998

bpl/rssb/1998/00000060/00000001/art00015
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