Kukush, Alexander; Schneeweiß, Hans; Shklyar, Sergiy
Quasi Score is more efficient than Corrected Score in a general nonlinear measurement error model.
Sonderforschungsbereich 386, Discussion Paper 451
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.