The effects of model mis-specifications in linear measurement error models

Abstract

In the literature, there are many results on the consequences of mis-specified models for linear models with error in the response only, see, e.g., Seber(1977). There are also discussions of estimation for the model writh errors both in the response and in the predictor variables (called measurement error models; see, e.g., Fuller(1987)). In this paper, we consider the problem of model mis-specification for measurement error models. Only a few special cases have been tackled in the past (Edland, 1996; Carroll and Ruppert, 1996 and Lakshminarayanan Amp; Gunst, 1984); we deal with the situation here in some generality. Results have been obtained as follows: (a) When a model is under-fitted, the estimate of the variance of the measurement error will be asymptotically biased, as will the regression coefficients, and the asymptotic biases in the estimates of the regression coefficients will always exist for under-fitted models. Even orthogonality of the variables in the model will not make the biases vanish. (b)For over-fitting, the estimates of the variances of measurement errors and of the regression coefficients are asymptotically unbiased. However, the variance of the estimated regression coefficients will increase. Over-fitting will cause larger changes in the variances of the estimated parameters in measurement error models than in no measurement error models.