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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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 |
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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. |
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Article |
author |
Chen, Songnian. Hsiao, Cheng. Wang, Liqun. |
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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 |
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1681042723062153216 |