Interpretation of Regressions with Multiple Proxies
AbstractMultiple proxy variables are typically available for an unobserved explanatory variable in a regression. We provide a procedure by which the coefficient of interest can be estimated from a regression in which all the proxies are included simultaneously. This estimator is superior in large samples to the common practice of creating a summary measure of the proxy variables. We examine the relationship between parents' income and children's reading test scores in the United States, and between parents' assets and children's school enrollment in India, and demonstrate that the reduction in attenuation bias from a better use of proxy variables can be significant. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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Bibliographic InfoPaper provided by Princeton University, Department of Economics, Industrial Relations Section. in its series Working Papers with number 836.
Date of creation: Sep 2001
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Proxy variables; measurement error; index construction;
Other versions of this item:
- Darren Lubotsky & Martin Wittenberg, 2006. "Interpretation of Regressions with Multiple Proxies," The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 549-562, August.
- Darren Lubotsky & Martin Wittenberg, 2001. "Interpretation of Regressions with Multiple Proxies," Econometrics 0110005, EconWPA.
- P21 - Economic Systems - - Socialist Systems and Transition Economies - - - Planning, Coordination, and Reform
- P22 - Economic Systems - - Socialist Systems and Transition Economies - - - Prices
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