Instrumental variable estimation in a probit measurement error model
作者： J.S. Buzas , L.A. Stefanski
DOI: 10.1016/0378-3758(95)00180-8
关键词: Errors-in-variables models 、 Mathematics 、 Instrumental variable 、 Multinomial probit 、 Probit 、 Estimator 、 Regression analysis 、 Econometrics 、 Probit model 、 Statistics 、 Multivariate probit model
摘要: Probit regression is studied when normally distributed covariates are subject to measurement errors. Under the assumption that surrogate instrumental variables available, parameters in probit model shown be identified. The maximum likelihood estimator and an easily computed two-stage derived studied. asymptotically efficient. Simulation results complement theory provide evidence of robustness normality assumptions.
elsevier.com
sci-hub.se 参考文章(15)
Statistical Analysis of Measurement Error Models and Applications American Mathematical Society. ,vol. 112, ,(1990) , 10.1090/CONM/112
Yasuo Amemiya, Instrumental variable estimator for the nonlinear errors-in-variables model Journal of Econometrics. ,vol. 28, pp. 273- 289 ,(1985) , 10.1016/0304-4076(85)90001-6
W B Kannel, The Framingham study. BMJ. ,vol. 2, pp. 1255- 1255 ,(1976) , 10.1136/BMJ.2.6046.1255-A
Tor D. Tosteson, Leonard A. Stefanski, Daniel W. Schafer, A measurement-error model for binary and ordinal regression. Statistics in Medicine. ,vol. 8, pp. 1139- 1147 ,(1989) , 10.1002/SIM.4780080914
L. A. Stefanski, J. S. Buzas, Instrumental Variable Estimation in Binary Regression Measurement Error Models Journal of the American Statistical Association. ,vol. 90, pp. 541- 550 ,(1995) , 10.1080/01621459.1995.10476546
Yasuo Amemiya, Two-stage instrumental variables estimators for the nonlinear errors-in-variables model Journal of Econometrics. ,vol. 44, pp. 311- 332 ,(1990) , 10.1016/0304-4076(90)90061-W
LEONARD A. STEFANSKI, RAYMOND J. CARROLL, Conditional scores and optimal scores for generalized linear measurement-error models Biometrika. ,vol. 74, pp. 703- 716 ,(1987) , 10.1093/BIOMET/74.4.703
Jeffrey S Buz as, Instrumental variable estimation in nonlinear measurement error models Communications in Statistics-theory and Methods. ,vol. 26, pp. 2861- 2877 ,(1997) , 10.1080/03610929708832083
RAYMOND J. CARROLL, CLIFFORD H. SPIEGELMAN, K. K. GORDON LAN, KENT T. BAILEY, ROBERT D. ABBOTT, On errors-in-variables for binary regression models Biometrika. ,vol. 71, pp. 19- 25 ,(1984) , 10.1093/BIOMET/71.1.19
Deborah Burr, On Errors-in-Variables in Binary Regression—Berkson Case Journal of the American Statistical Association. ,vol. 83, pp. 739- 743 ,(1988) , 10.1080/01621459.1988.10478656