Working Paper

Nonparametric identification of the classical errors-in-variables model without side information


Yingyao Hu, Arthur Lewbel, Susanne M. Schennach

Published Date

26 July 2007


Working Paper (CWP14/07)

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.