New multivariate central limit theorems in linear structural and functional error-in-variables models

TL;DR

This paper establishes new, universal joint central limit theorems for estimators in linear error-in-variables models, under general conditions and with data-based, Studentized forms that avoid unknown parameters.

Contribution

It introduces the most general CLTs for estimators in SEIVM and FEIVM, with nearly parameter-free, Studentized forms, and provides a unified proof scheme for both models.

Findings

New joint CLTs for estimators in SEIVM and FEIVM

CLTs are data-based and free of unknown error distribution parameters

Results are universal and extend previous model interplay

Abstract

This paper deals simultaneously with linear structural and functional error-in-variables models (SEIVM and FEIVM), revisiting in this context generalized and modified least squares estimators of the slope and intercept, and some methods of moments estimators of unknown variances of the measurement errors. New joint central limit theorems (CLT's) are established for these estimators in the SEIVM and FEIVM under some first time, so far the most general, respective conditions on the explanatory variables, and under the existence of four moments of the measurement errors. Moreover, due to them being in Studentized forms to begin with, the obtained CLT's are a priori nearly, or completely, data-based, and free of unknown parameters of the distribution of the errors and any parameters associated with the explanatory variables. In contrast, in related CLT's in the literature so far, the covariance matrices of the limiting normal distributions are, in general, complicated and depend on various, typically unknown parameters that are hard to estimate. In addition, the very forms of the CLT's in the present paper are universal for the SEIVM and FEIVM. This extends a previously known interplay between a SEIVM and a FEIVM. Moreover, though the particular methods and details of the proofs of the CLT's in the SEIVM and FEIVM that are established in this paper are quite different, a unified general scheme of these proofs is constructed for the two models herewith.