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MEASUREMENT ERRORS AND CENSORED STRUCTURALLATENT VARIABLES MODELS

Published online by Cambridge University Press:  25 November 2011

Songnian Chen ,
Cheng Hsiao  and
Liqun Wang
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Abstract

We consider censored structural latent variables modelswhere some exogenous variables are subject toadditive measurement errors. We demonstrate thatoveridentification conditions can be exploited toprovide natural instruments for the variablesmeasured with errors, and we propose a two-stageestimation procedure. The first stage involvessubstituting available instruments in lieu of thevariables that are measured with errors andestimating the resulting reduced form parametersusing consistent censored regression methods. Thesecond stage obtains structural form parametersusing the conventional linear simultaneous equationsmodel estimators.

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Type
Brief Report
Information
Econometric Theory , Volume 28 , Issue 3 , June 2012 , pp. 696 - 703
Copyright
Copyright © Cambridge University Press 2011

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Footnotes

We are deeply appreciative of the very helpfulcomments of a co-editor and two referees. We alsothank T. Amemiya for helpful comments. Thisresearch is partially supported by the NaturalSciences and Engineering Research Council ofCanada (NSERC). Part of this work was carried outwhile the first author was at the NationalUniversity of Singapore.

References

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