Specification Error Analysis with Stochastic Regressors

DOI10.2307/1912059zbMath0511.62082OpenAlexW1969406264MaRDI QIDQ4749034

Kajal Lahiri, Terrence Kinal

Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912059

zbMATH Keywords

errors-in-variablesstochastic explanatory variablesexact distribution of omitted variable estimatorFeldstein conditionminimum mean square error criterion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Exact distribution theory in statistics (62E15)

Related Items (5)

Proxies versus omitted variables in regression analysis ⋮ On the distribution function of various model selection criteria with stochastic regressors ⋮ Expected MSE of errors-in-variables and omitted variables models ⋮ Superiority comparisons of heterogeneous linear estimators ⋮ Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables

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