Errors-in-variables regression using estimated latent variables |
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Authors: | Shigeru Iwata |
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Institution: | 1. Department of Economics , University of Cyprus;2. Department of Economics , Virginia Polytechnic;3. Department of Economics , State University |
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Abstract: | This note considers a method for estimating regression parameters from the data containing measurement errors using some natural estimates of the unobserved explanatory variables. It is shown that the resulting estimator is consistent not only in the usual linear regression model but also in the probit model and regression models with censoship or truncation. However, it fails to be consistent in nonlinear regression models except for special cases. |
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Keywords: | Measurement errors Limited dependent variable models Nonlinear regression models |
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