A comparison of asymptotic covariance matrices of three consistent estimators in the Poisson regression model with measurement errors

Shklyar, Sergiy und Schneeweiß, Hans (2002): A comparison of asymptotic covariance matrices of three consistent estimators in the Poisson regression model with measurement errors. Collaborative Research Center 386, Discussion Paper 283

Abstract

We consider a Poisson model, where the mean depends on certain covariates in a log-linear way with unknown regression parameters. Some or all of the covariates are measured with errors. The covariates as well as the measurement errors are both jointly normally distributed, and the error covariance matrix is supposed to be known. Three consistent estimators of the parameters - the corrected score, a structural, and the quasi-score estimators - are compared to each other with regard to their relative (asymptotic) efficiencies. The paper extends an earlier result for a scalar covariate.

• Item Type: Paper
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English