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Maximum Likelihood Estimation of Misspecified Dynamic Models Read chapter Read first chapter

1984 | OriginalPaper | Chapter

Measurement Error and Endogeneity in Regression: Bounds for ML and 2SLS Estimates

Authors : Paul Bekker, Arie Kapteyn, Tom Wansbeek

Published in: Misspecification Analysis

Publisher: Springer Berlin Heidelberg

Included in: Professional Book Archive

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We consider the single equation errors in variables model and assume that a researcher is willing to specify upper bounds on the possible measurement errors in the exogenous variables. We prove that as a result the set of possible ML estimates is bounded by an ellipsoid. The result is generalized to IV estimation of a structural equation of a simultaneous system, which has only endogenous variables on the right hand side.

previous chapter Specification in Simultaneous Linear Equations Models: The Relation Between A Priori Specifications and Resulting Estimators
next chapter Testing Parameter Constancy of Linear Regressions
Metadata
Title
Measurement Error and Endogeneity in Regression: Bounds for ML and 2SLS Estimates
Authors
Paul Bekker
Arie Kapteyn
Tom Wansbeek
Copyright Year
1984
Publisher
Springer Berlin Heidelberg
Book
Misspecification Analysis

Print ISBN: 978-3-540-13893-8

Electronic ISBN: 978-3-642-95461-0

Copyright Year: 1984

DOI
https://doi.org/10.1007/978-3-642-95461-0_6