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On The Effects Of Misspecification Errors In Models With Generated Regressors

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  • C. R. McKenzie
  • Michael McAleer

Abstract

This 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

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File URL: http://hdl.handle.net/10.1111/j.1468-0084.1994.tb00019.x
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Bibliographic Info

Article 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)
Pages: 441-455

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Handle: RePEc:bla:obuest:v:56:y:1994:i:4:p:441-455

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Cited by:
  1. 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.
  2. Aysun, Uluc & Guldi, Melanie, 2011. "Exchange rate exposure: A nonparametric approach," Emerging Markets Review, Elsevier, Elsevier, vol. 12(4), pages 321-337.
  3. 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.
  4. 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.

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