Advanced Search
MyIDEAS: Login to save this article or follow this journal

Estimation of Parameters in the Presence of Model Misspecification and Measurement Error


Author Info

  • Swamy P. A. V. B.

    (Retired from the U.S. Federal Reserve Board)

  • Tavlas George S

    (Bank of Greece)

  • Hall Stephen G. F.

    (University of Leicester)

  • Hondroyiannis George

    (Bank of Greece and Harokopio University)


Misspecifications of econometric models can lead to biased coefficients and incorrect interpretations of error terms, which in turn can lead to incorrectly estimated models and incorrect inference. There are specific techniques such as instrumental variables, which are used in the economics literature to deal with some individual forms of model misspecification, only addressing one problem at a time. The joint and separate solutions to the problems of unknown functional forms, omitted variables and measurement errors, discussed in this paper, prove that instrumental variables do not exist. Therefore, the specific techniques used in the literature are not feasible. This paper proposes a general method for estimating underlying parameters in the presence of a range of model misspecifications. It is argued that this method can consistently estimate the direct effect of an independent variable on a dependent variable with all of its other determinants held constant even in the presence of an unknown functional form, measurement error and omitted variables.

Download Info

If 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.
File URL:
Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.

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 Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 14 (2010)
Issue (Month): 3 (May)
Pages: 1-35

as in new window
Handle: RePEc:bpj:sndecm:v:14:y:2010:i:3:n:1

Contact details of provider:
Web page:

Order Information:

Related research


Other versions of this item:

Find related papers by JEL classification:


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Stephen Hall & P.A.V.B. Swamy & George S. Tavlas, 2012. "Milton Friedman, the Demand for Money and the ECB’s Monetary-Policy Strategy," Discussion Papers in Economics 12/05, Department of Economics, University of Leicester.
  2. Hall, Stephen G. & Kenjegaliev, Amangeldi & Swamy, P.A.V.B. & Tavlas, George S., 2013. "Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 1-20.
  3. Stephen Hall & George Hondroyiannis & Amangeldi Kenjegaliev & P.A.V.B. Swamy & George S. Tavlas, 2013. "Is the Relationship Between Prices and Exchange Rates Homogeneous?," Discussion Papers in Economics 13/13, Department of Economics, University of Leicester.
  4. Stephen Hall & P. A. V. B. Swamy & George S. Tavlas, 2011. "Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes," Discussion Papers in Economics 11/22, Department of Economics, University of Leicester.
  5. Peter Smith, 2010. "Discussion of the Fisher Effect Puzzle: A Case of Non-Linear Relationship," Open Economies Review, Springer, Springer, vol. 21(1), pages 105-108, February.
  6. Ettredge, Michael & Fuerherm, Elizabeth Emeigh & Li, Chan, 2014. "Fee pressure and audit quality," Accounting, Organizations and Society, Elsevier, vol. 39(4), pages 247-263.
  7. Stephen Hall & George Hondroyiannis & P. Swamy & George Tavlas, 2010. "The Fisher Effect Puzzle: A Case of Non-Linear Relationship?," Open Economies Review, Springer, Springer, vol. 21(1), pages 91-103, February.
  8. P. Swamy & Stephen Hall, 2012. "Measurement of causal effects," Economic Change and Restructuring, Springer, Springer, vol. 45(1), pages 3-23, February.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:14:y:2010:i:3:n:1. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).

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.