We analyze Poisson regression when covariates contain measurement errors and when multiple potential instrumental variables are available. Without empirical knowledge to select the most suitable variable as an instrument, we propose a novel model-averaging approach to resolve this issue. We prescribe an implementation and establish its optimality in terms of minimizing prediction risk. We further show that, as long as one model is correctly specified among all potential instrumental variable models, our method will lead to consistent prediction. The performance of our method is illustrated through simulations and a movie sales example.
|Original language||English (US)|
|Number of pages||26|
|Journal||Canadian Journal of Statistics|
|State||Published - Mar 2023|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty