Quasi Score is more efficient than Corrected Score in a general nonlinear measurement error model

Kukush, Alexander and Schneeweiß, Hans and Shklyar, Sergiy (2005): Quasi Score is more efficient than Corrected Score in a general nonlinear measurement error model. Collaborative Research Center 386, Discussion Paper 451

Abstract

We compare two consistent estimators of the parameter vector beta of a general exponential family measurement error model with respect to their relative efficiency. The quasi score (QS) estimator uses the distribution of the regressor, the corrected score (CS) estimator does not make use of this distribution and is therefore more robust. However, if the regressor distribution is known, QS is asymptotically more efficient than CS. In some cases it is, in fact, even strictly more efficient, in the sense that the difference of the asymptotic covariance matrices of CS and QS is positive definite.

• Item Type: Paper (Research Paper)
• Keywords: Measurement errors, nonlinear regression, exponential family, corrected score, quasi score, asymptotic efficiency
• Collections: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics