Measurement errors and censored structural latent variables models

We consider censored structural latent variables models where some exogenous variables are subject to additive measurement errors. We demonstrate that overidentification conditions can be exploited to provide natural instruments for the variables measured with errors, and we propose a two-stage e...

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Main Authors: Chen, Songnian., Hsiao, Cheng., Wang, Liqun.
Other Authors: School of Humanities and Social Sciences
Format: Article
Language:English
Published: 2013
Online Access:https://hdl.handle.net/10356/98269
http://hdl.handle.net/10220/13246
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-982692020-03-07T12:10:40Z Measurement errors and censored structural latent variables models Chen, Songnian. Hsiao, Cheng. Wang, Liqun. School of Humanities and Social Sciences We consider censored structural latent variables models where some exogenous variables are subject to additive measurement errors. We demonstrate that overidentification conditions can be exploited to provide natural instruments for the variables measured with errors, and we propose a two-stage estimation procedure. The first stage involves substituting available instruments in lieu of the variables that are measured with errors and estimating the resulting reduced form parameters using consistent censored regression methods. The second stage obtains structural form parameters using the conventional linear simultaneous equations model estimators. Published version 2013-08-27T08:31:06Z 2019-12-06T19:53:02Z 2013-08-27T08:31:06Z 2019-12-06T19:53:02Z 2011 2011 Journal Article Chen, S., Hsiao, C., & Wang, L. (2012). Measurement Errors and Censored Structural Latent Variables Models. Econometric Theory, 28(03), 696-703. https://hdl.handle.net/10356/98269 http://hdl.handle.net/10220/13246 10.1017/S0266466611000715 en Econometric theory © 2011 Cambridge University Press. This paper was published in Econometric Theory and is made available as an electronic reprint (preprint) with permission of Cambridge University Press. The paper can be found at the following official DOI: [http://dx.doi.org/10.1017/S0266466611000715]. One print or electronic copy may be made for personal use only. Systematic or multiple reproduction, distribution to multiple locations via electronic or other means, duplication of any material in this paper for a fee or for commercial purposes, or modification of the content of the paper is prohibited and is subject to penalties under law. application/pdf
institution Nanyang Technological University
building NTU Library
country Singapore
collection DR-NTU
language English
description We consider censored structural latent variables models where some exogenous variables are subject to additive measurement errors. We demonstrate that overidentification conditions can be exploited to provide natural instruments for the variables measured with errors, and we propose a two-stage estimation procedure. The first stage involves substituting available instruments in lieu of the variables that are measured with errors and estimating the resulting reduced form parameters using consistent censored regression methods. The second stage obtains structural form parameters using the conventional linear simultaneous equations model estimators.
author2 School of Humanities and Social Sciences
author_facet School of Humanities and Social Sciences
Chen, Songnian.
Hsiao, Cheng.
Wang, Liqun.
format Article
author Chen, Songnian.
Hsiao, Cheng.
Wang, Liqun.
spellingShingle Chen, Songnian.
Hsiao, Cheng.
Wang, Liqun.
Measurement errors and censored structural latent variables models
author_sort Chen, Songnian.
title Measurement errors and censored structural latent variables models
title_short Measurement errors and censored structural latent variables models
title_full Measurement errors and censored structural latent variables models
title_fullStr Measurement errors and censored structural latent variables models
title_full_unstemmed Measurement errors and censored structural latent variables models
title_sort measurement errors and censored structural latent variables models
publishDate 2013
url https://hdl.handle.net/10356/98269
http://hdl.handle.net/10220/13246
_version_ 1681042723062153216