Competitive Selection and Market Data: The Mixed-Index Problem
AbstractPrices may act as a statistical signal for the existence of selection bias in cross-sectional studies with some price as dependent variable. Elements of competitive selection appear in the pricing theory of real or financial assets and in the determination of wage rates, where prices correlate the characteristics of the asset or job with those of the individuals. If prices achieve such an allocation, then regressions with price as dependent variable are prima facie "mixed-index" in character, with adverse bias or consistency properties, no matter that the right-hand regressors are apparently exogenous. The authors codify the conditions under which mixed index bias will occur. Copyright 1992 by The Review of Economic Studies Limited.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Review of Economic Studies.
Volume (Year): 59 (1992)
Issue (Month): 3 (July)
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