Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
Estimation of Parameters in the Presence of Model Misspecification and Measurement Error
复制标题
存在模型错误和测量误差时的参数估计
DOI：
10.2202/1558-3708.1743
复制
发表时间：
2010
影响因子：
0.8
通讯作者：
G. Hondroyiannis
中科院分区：
文献类型：
--
作者：
P. Swamy;G. Tavlas;Stephen G. Hall;G. Hondroyiannis
计量经济学模型的错误设定会导致有偏的系数和错误项的错误解释，这反过来又会导致错误的估计模型和错误的推断。有一些特定的技术，如工具变量，在经济学文献中用于处理一些个别形式的模型错误，一次只解决一个问题。本文讨论了未知函数形式、遗漏变量和测量误差问题的联合解和分离解，证明了辅助变量不存在。因此，文献中使用的具体技术并不可行。本文提出了一种通用的方法来估计潜在的参数，在存在一系列的模型误设定。有人认为，这种方法可以一致地估计一个独立的变量对因变量的直接影响，其所有其他决定因素保持不变，即使在存在未知的函数形式，测量误差和遗漏的变量。
Misspecifications of econometric models can lead to biased coefficients and incorrect interpretations of error terms, which in turn can lead to incorrectly estimated models and incorrect inference. There are specific techniques such as instrumental variables, which are used in the economics literature to deal with some individual forms of model misspecification, only addressing one problem at a time. The joint and separate solutions to the problems of unknown functional forms, omitted variables and measurement errors, discussed in this paper, prove that instrumental variables do not exist. Therefore, the specific techniques used in the literature are not feasible. This paper proposes a general method for estimating underlying parameters in the presence of a range of model misspecifications. It is argued that this method can consistently estimate the direct effect of an independent variable on a dependent variable with all of its other determinants held constant even in the presence of an unknown functional form, measurement error and omitted variables.