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cemmap Working Papers
July 2007 CWP14/07
Article
Nonparametric identification of the classical errors-in-variables model without side information
Type: cemmap Working Papers
Authors: Susanne Schennach, Yingyao Hu and Arthur Lewbel
ISSN: 1753-9196

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.

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