Expected MSE of errors-in-variables and omitted variables models

DOI10.1016/0165-1765(89)90228-0MaRDI QIDQ902690zbMATH OpenOpenAlexFDO

Authors Jerry G. Thursby

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(89)90228-0

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Proxies versus omitted variables in regression analysis
• A note on bias from proxy variables with systematic errors
• Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables
• Proxy and instrumental variable methods in a regression model with one of the regressors missing
• PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables

Cites work

• scientific article; zbMATH DE number 45973 (Why is no real title available?)
• scientific article; zbMATH DE number 3599370 (Why is no real title available?)
• scientific article; zbMATH DE number 1380646 (Why is no real title available?)
• A Note on the Use of Proxy Variables
• MSE dominance of least squares with errors-of-observation
• Relative Asymptotic Bias from Errors of Omission and Measurement
• Specification Error Analysis with Stochastic Regressors

Cited in

(3)

• Explained variation and predictive accuracy in general parametric statistical models: The role of model misspecification
• Upper expectation parametric regression
• OLS or GLS in the presence of specification error? An expected loss approach

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