Two-stage estimation of limited dependent variable models with errors-in-variables

Econometrics Journal

Volumn 10, Issue 2, 2007, Pages 426-438

  Wang, Liqun ^a   Hsiao, Cheng ^b  

^a UNIVERSITY OF MANITOBA   (Canada)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Censored regression; Errors in variables; Instrumental variables; Limited dependent variables; Measurement errors; Minimum distance estimation; Tobit model; Truncated outcome

Indexed keywords

EID: 34347398889     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2007.00214.x     Document Type: Article

References (29)

1. Aigner, D. J., C. Hsiao, A. Kapteyn and T. Wansbeek (1984). Latent Variable Models in Econometrics. In Z. Griliches and M. D. Intriligator eds., Handbook of Econometrics, Vol. II, North-Holland, Amsterdam.
2. Amemiya, T. (1973). Regression analysis when the dependent variable is truncated normal. Econometrica 41, 997-1016.
3. Amemiya, T. (1984). Tobit models: A survey. Journal of Econometrics 24, 3-61.
4. Amemiya, T. (1985a). Advanced Econometrics. Basil Blackwell, Oxford, UK.
5. Amemiya, Y. (1985b). Instrumental variable estimator for the non-linear errors-in-variables model. Journal of Econometrics 28, 273-89.
6. Amemiya, Y. (1990). Two-stage instrumental variable estimators for the non-linear errors-in-variables model. Journal of Econometrics, 44, 311-32.
7. Carroll, R.J., D. Ruppert and L.A. Stefanski (1995). Measurement Error in Nonlinear Models. Chapman & Hall, London.
8. Dood, L.E., E.L. Korn, L.M. McShane, G.V.R. Chandramouli and E.Y. Chuang (2004). Correcting log ratios for signal saturation in cDNA microarrays. Bioinformatics 20, 2685-93.
9. Fang, K.T. and Y.T. Zhang (1990). Generalized Multivariate Analysis. Springer-Verlag, New York.
10. Fitzenberger, B. (1996). A guide to censored quantile regression. In C. R. Rao and G. Maddala (eds), Handbook of Statistics. North-Holland, New York.
11. Fuller, W.A. (1987). Measurement Error Models. Wiley, New York.
12. Gupta, A.K. and T. Varga (1993). Elliptically Contoured Models in Statistics. Kluwer Academic Publishers, Dordrecht.
13. Gustafson, P. (2004). Measurement Error and Misclassification in Statistics and Epidemiology - Impacts and Bayesian adjustments. Chapman & Hall/CRC, Boca Raton.
14. Heckman, J.J. and T.E. MaCurdy (1986). Labor Econometrics. In Z. Griliches and M.D. Intriligator (eds), Handbook of Econometrics III, North-Holland, Amsterdam.
15. Hsiao, C. (1983). Identification. In Z. Griliches and M.D. Intriligator (eds), Handbook of Econometrics, Vol. I. North-Holland, Amsterdam.
16. Hsiao, C. (1989). Consistent estimation for some non-linear errors-in-variables models. Journal of Econometrics 41, 159-85.
17. Hsiao, C. (1991). Identification and estimation of dichotomous latent variables models using panel data. Review of Economic Studies 58, 717-31.
18. Khan, S. and J.L. Powell (2001). Two-step estimation of semiparametric censored regression models. Journal of Econometrics 103, 73-110.
19. Killingsworth, M.R. and J.J. Heckman (1986). Female labor supply: A survey. In O. Ashenfelter and R. Layard (eds), Handbook of Labor Economics I, North-Holland, Amsterdam.
20. Koenker, R. (2006). quantreg: Quantile Regression. R package version 3.85. http://www.r-project.org
21. Maddala, G. S. (1985). Limited-Dependent and Qualitative Variables in Econometrics. Cambridge University Press, Cambridge.
22. Powell, J.L. (1984). Least absolute deviations estimation of the censored regression models. Journal of Econometrics 25, 303-25.
23. Powell, J.L. (1986a). Symmetrically trimmed least squares estimation for Tobit models. Econometrica, 54, 1435-60.
24. Powell, J.L. (1986b). Censored regression quantiles. Journal of Econometrics 32, 143-55.
25. Schennach, S.M. (2004). Instrumental variable estimation of non-linear errors-in-variables models. Working Paper, Department of Economics, University of Chicago.
26. Wang, L. (1998). Estimation of censored linear errors-in-variables models. Journal of Econometrics 84, 383-400.
27. Wang, L. (2002). A simple adjustment for measurement errors in some limited dependent variable models. Statistics and Proabbiltiy Letters 58, 427-33.
28. Wang, L. and C. Hsiao (1995). A simulated semiparametric estimation of non-linear errors-in-variables models. Working Paper, Department of Economics, University of Southern California.
29. Weiss, A.A. (1993). Some aspects of measurement error in a censored regression model. Journal of Econometrics 56, 169-88.