Du är här

Estimation in Binary Choice Models with Measurement Errors

Författare:
Publiceringsår: 2003
Språk: Engelska
Publikation/Tidskrift/Serie: Working Papers, Department of Economics, Lund University
Nummer: 4
Dokumenttyp: Working paper
Förlag: Department of Economics, Lund University

Sammanfattning

In this paper we develop a simple maximum likelihood estimator for probit models where the regressors have measurement error. We first assume precise information about the reliability ratios (or, equivalently, the proxy correlations) of the regressors. We then show how reasonable bounds for the parameter estimates can be obtained when only imprecise information is available. The analysis is also extended to situations where the measurement error has non-zero mean and is correlated with the true values of the regressors. An extensive simulation study shows that the estimator works very well, even in quite small samples. Finally the method is applied to data explaining sick leave in Sweden

Disputation

Nyckelord

  • Business and Economics
  • Measurement error
  • errors-in-variables
  • probit
  • binary choice
  • bounds

Övriga

Unpublished

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

LERU logotype U21 logotype

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen