Instrumental variable type estimation for generalized varying coefficient models with error-prone covariates

Abstract

In this paper, the estimation for a class of generalized varying coefficient models with error-prone covariates is considered. By combining basis function approximations with some auxiliary variables, an instrumental variable type estimation procedure is proposed. The asymptotic results of the estimator, such as the consistency and the weak convergence rate, are obtained. The proposed procedure can attenuate the effect of measurement errors and have proved workable for finite samples.