Economics Department
Working Papers in Economics
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TITLE:
Nonparametric identification of the classical errors-in-variables model without side information
AUTHOR(S):
Susanne M. Schennach , University of Chicago
Yingyao Hu, Johns Hopkins University
Arthur Lewbel, Boston College
DOCUMENT TYPE: Article
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ABSTRACT:
This note establishes that the fully nonparametric classical errors-in-variables model is identifiable from data on the regressor and the dependent variable alone, unless the specification is a member of a very specific parametric family. This family includes the linear specification with normally distributed variables as a special case. This result relies on standard primitive regularity conditions taking the form of smoothness and monotonicity of the regression function and nonvanishing characteristic functions of the disturbances.