Estimation in Binary Choice Models with Measurement Errors
Author
Summary, in English
In this paper we develop a simple maximum likelihood estimator for probit models where the regressors have measurement error. We first assume precise information about the reliability ratios (or, equivalently, the proxy correlations) of the regressors. We then show how reasonable bounds for the parameter estimates can be obtained when only imprecise information is available. The analysis is also extended to situations where the measurement error has non-zero mean and is correlated with the true values of the regressors. An extensive simulation study shows that the estimator works very well, even in quite small samples. Finally the method is applied to data explaining sick leave in Sweden
Department/s
Publishing year
2003
Language
English
Publication/Series
Working Papers, Department of Economics, Lund University
Issue
4
Full text
- Available as PDF - 545 kB
- Download statistics
Links
Document type
Working paper
Publisher
Department of Economics, Lund University
Topic
- Economics
Keywords
- Measurement error
- errors-in-variables
- probit
- binary choice
- bounds
Status
Unpublished