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Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors

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  • Arthur Lewbel

Abstract

A simple root n consistent, asymptotically normal semiparametric estimator of the coefficient vector beta in the latent variable specification y = L (beta'x + e) is constructed. The distribution of e is unknown and may be correlated with x or be conditionally heteroscedastic, e.g., x can contain measurement error. The function L can also be unknown. The identification assumption is that e is uncorrelated with instruments u and that the conditional distribution of e given x and u does not depend on one of the regressors, which has some special properties. Extensions to more general latent variable specifications are provided.

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 66 (1998)
Issue (Month): 1 (January)
Pages: 105-122

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Handle: RePEc:ecm:emetrp:v:66:y:1998:i:1:p:105-122

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