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Tom Wansbeek, Erik Meijer

Measurement Error and Latent Variables in Econometrics

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ISBN: 044488100X, 9780444881007
Издательство: North-Holland
Год издания: 2010
Страниц: 454
Hardbound. The book first discusses in depth various aspects of the well-known inconsistency that arises when explanatory variables in a linear regression model are measured with error. Despite this inconsistency, the region where the true regression coeffecients lies can sometimes be characterized in a useful way, especially when bounds are known on the measurement error variance but also when such information is absent. Wage discrimination with imperfect productivity measurement is discussed as an important special case. Next, it is shown that the inconsistency is not accidental but fundamental. Due to an identification problem, no consistent estimators may exist at all. Additional information is desirable. This information can be of various types. One type is exact prior knowledge about functions of the parameters. This leads to the CALS estimator. Another major type is in the form of instrumental variables. Many aspects of this are discussed, inc
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