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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Other versions of this item:
- 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, Department of Economics, University of Oxford, vol. 56(4), pages 441-455, November.
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