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- Title
SEMIPARAMETRIC LATENT VARIABLE MODEL ESTIMATION WITH ENDOGENOUS OR MISMEASURED REGRESSORS.
- Authors
Lewbel, Arthur
- Abstract
A simple root n consistent, asymptotically normal semiparametric estimator of the coefficient vector β in the latent variable specification y = L(β'x + e) is constructed. The distribution of e is unknown and may be correlated with x or be conditionally heteroscedastic, e.g., x can contain measurement error. The function L can also be unknown. The identification assumption is that e is uncorrelated with instruments u and that the conditional distribution of e given x and u does not depend on one of the regressors, which has some special properties. Extensions to more general latent variable specifications are provided.
- Subjects
ESTIMATION theory; LATENT variables; REGRESSION analysis; ERROR analysis in mathematics; HETEROSCEDASTICITY; VECTOR analysis
- Publication
Econometrica, 1998, Vol 66, Issue 1, p105
- ISSN
0012-9682
- Publication type
Article
- DOI
10.2307/2998542