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
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Bibliographic InfoArticle provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.
Volume (Year): 56 (1994)
Issue (Month): 4 (November)
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- C. R. McKenzie & Michael McAleer, 1994. "On The Effects Of Misspecification Errors In Models With Generated Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 441-455, November.
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