A comparison of asymptotic covariance matrices of three consistent estimators in the Poisson regression model with measurement errors Mathematik, Informatik und Statistik - Open Access LMU - Teil 01/03

We consider a Poisson model, where the mean depends on certain covariates in a log-linear way with unknown regression parameters. Some or all of the covariates are measured with errors. The covariates as well as the measurement errors are both jointly normally distributed, and the error covariance matrix is supposed to be known. Three consistent estimators of the parameters - the corrected score, a structural, and the quasi-score estimators - are compared to each other with regard to their relative (asymptotic) efficiencies. The paper extends an earlier result for a scalar covariate.