Abstract
Harley Frazis and Mark A. Loewenstein (2002) "Estimating
Linear Regressions with Mismeasured, Possibly Endogenous, Binary Explanatory
Variables."
This paper is concerned with mismeasured binary explanatory variables
in a linear regression. Modification of a technique in Hausman et al.
(1998) allows simple computation of bounds under relatively weak
assumptions. When one has instruments, we show how to obtain consistent
parameter estimates using GMM. We show how to incorporate the estimated
measurement error bounds into the GMM estimates, and we develop a
specification test based on the compatibility of the GMM estimates with
the measurement error bounds. When the mismeasured variable is endogenous,
the IV estimate and the measurement error bounds can be used to bound the
mismeasured variable's coefficient.
Last Modified Date: July 19, 2008
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