On The Effects Of Misspecification Errors In Models With Generated Regressors
AbstractThis paper considers the consistency and efficiency of two-step estimators of a structural equation when the auxiliary equation is misspecified. Underspecification generally leads to the two-step estimator and the estimator of the error variance being inconsistent. When the errors of the structural and auxiliary equations are uncorrelated, a two-step estimator based on an overspecified auxiliary model will generally lead to a loss of efficiency compared with the two-step estimator based on a correctly specified auxiliary model. The impact of underspecifying and overspecifying the auxiliary equation used to generate initial parameter estimates for Heckman's two-step estimator of models with sample selection is analyzed. Copyright 1994 by Blackwell Publishing Ltd
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics and Statistics.
Volume (Year): 56 (1994)
Issue (Month): 4 (November)
Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC
Other versions of this item:
- McKenzie, C R & McAleer, Michael, 1994. "On the Effects of Misspecification Errors in Models with Generated Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 56(4), pages 441-55, November.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Uluc Aysun & Melanie Guldi, 2008. "Increasing Derivatives Market Activity in Emerging Markets and Exchange Rate Exposure," Working papers, University of Connecticut, Department of Economics 2008-06, University of Connecticut, Department of Economics, revised Oct 2008.
- Aysun, Uluc & Guldi, Melanie, 2011.
"Exchange rate exposure: A nonparametric approach,"
Emerging Markets Review, Elsevier,
Elsevier, vol. 12(4), pages 321-337.
- Uluc Aysun & Melanie Guldi, 2009. "Exchange rate exposure: A nonparametric approach," Working papers, University of Connecticut, Department of Economics 2009-18, University of Connecticut, Department of Economics.
- Gonzalez-Rivera, Gloria, 1998. "Dynamic asset pricing and statistical properties of risk," Journal of Economics and Business, Elsevier, Elsevier, vol. 50(5), pages 461-470, September.
- Eric Solberg, 2004. "Occupational assignment, hiring discrimination, and the gender pay gap," Atlantic Economic Journal, International Atlantic Economic Society, International Atlantic Economic Society, vol. 32(1), pages 11-27, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.