Recentered And Rescaled Instrumental Variable Estimation Of Tobit And Probit Models With Errors In Variables
Since Durbin (1954) and Sargan (1958), instrumental variable (IV) method has long been one of the most popular procedures among economists and other social scientists to handle linear models with errors-in-variables. A direct application of this method to nonlinear errors-in-variables models, however, fails to yield consistent estimators. This article restricts attention to Tobit and Probit models and shows that simple recentering and rescaling of the observed dependent variable may restore consistency of the standard IV estimator if the true dependent variable and the IV's are jointly normally distributed. Although the required condition seems rarely to be satisfied by real data, our Monte Carlo experiment suggests that the proposed estimator may be quite robust to the possible deviation from normality.
Volume (Year): 20 (2001)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20 |
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Leamer, Edward E, 1978. "Least-Squares versus Instrumental Variables Estimation in a Simple Errors in Variables Model," Econometrica, Econometric Society, vol. 46(4), pages 961-68, July.
- Hsiao, Cheng, 1991.
"Identification and Estimation of Dichotomous Latent Variables Models Using Panel Data,"
Review of Economic Studies,
Wiley Blackwell, vol. 58(4), pages 717-31, July.
- Hsiao, C., 1989. "Identification And Estimation Of Dichotomous Latent Variables Models Using Panel Data," Papers 8944, Tilburg - Center for Economic Research.
- Hsiao, C., 1992. "Nonlinear Latent Variable Models," Papers 9211, Southern California - Department of Economics.
- Greene, William H, 1981. "On the Asymptotic Bias of the Ordinary Least Squares Estimator of the Tobit Model," Econometrica, Econometric Society, vol. 49(2), pages 505-13, March.
- repec:ner:tilbur:urn:nbn:nl:ui:12-364321 is not listed on IDEAS
- Hausman, Jerry A. & Newey, Whitney K. & Ichimura, Hidehiko & Powell, James L., 1991. "Identification and estimation of polynomial errors-in-variables models," Journal of Econometrics, Elsevier, vol. 50(3), pages 273-295, December.
- Chung, Ching-Fan & Goldberger, Arthur S, 1984. "Proportional Projections in Limited Dependent Variable Models," Econometrica, Econometric Society, vol. 52(2), pages 531-34, March.
- Iwata, Shigeru, 1992. "Instrumental variables estimation in errors-in-variables models when instruments are correlated with errors," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 297-322.
- Greene, William H., 1983. "Estimation of limited dependent variable models by ordinary least squares and the method of moments," Journal of Econometrics, Elsevier, vol. 21(2), pages 195-212, February.
- Amemiya, Yasuo, 1985. "Instrumental variable estimator for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 28(3), pages 273-289, June.
- Thomas Mroz, .
"The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions,"
University of Chicago - Population Research Center
84-8, Chicago - Population Research Center.
- Mroz, Thomas A, 1987. "The Sensitivity of an Empirical Model of Married Women's Hours of Work to Economic and Statistical Assumptions," Econometrica, Econometric Society, vol. 55(4), pages 765-99, July.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
- Hsiao, Cheng, 1989.
"Consistent estimation for some nonlinear errors-in-variables models,"
Journal of Econometrics,
Elsevier, vol. 41(1), pages 159-185, May.
- Hsiao, C., 1988. "Consistent Estimation For Some Nonlinear Errors-In- Variables Models," Papers m8810, Southern California - Department of Economics.
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:20:y:2001:i:3:p:319-335. 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: ()
If references are entirely missing, you can add them using this form.