Proxies versus omitted variables in regression analysis

P.A. Bekker; T.J. Wansbeek

Proxies versus omitted variables in regression analysis

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When some variables to be used in a regression analysis contain measurement error, the OLS estimator will be inconsistent. When these variables are left out, OLS will also be inconsistent. In an appropriate metric the first type of inconsistency is smaller than the second type.

Originele taal-2	English
Pagina's (van-tot)	301 - 312
Aantal pagina's	12
Tijdschrift	Linear Algebra and Its Applications
Volume	237
Status	Published - apr.-1996

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title = "Proxies versus omitted variables in regression analysis",

abstract = "When some variables to be used in a regression analysis contain measurement error, the OLS estimator will be inconsistent. When these variables are left out, OLS will also be inconsistent. In an appropriate metric the first type of inconsistency is smaller than the second type.",

keywords = "STOCHASTIC REGRESSORS, CONSISTENT SETS, ERRORS, MATRICES, MODEL",

author = "P.A. Bekker and T.J. Wansbeek",

year = "1996",

month = apr,

language = "English",

volume = "237",

pages = "301 -- 312",

journal = "Linear Algebra and Its Applications",

issn = "0024-3795",

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TY - JOUR

T1 - Proxies versus omitted variables in regression analysis

AU - Bekker, P.A.

AU - Wansbeek, T.J.

PY - 1996/4

Y1 - 1996/4

N2 - When some variables to be used in a regression analysis contain measurement error, the OLS estimator will be inconsistent. When these variables are left out, OLS will also be inconsistent. In an appropriate metric the first type of inconsistency is smaller than the second type.

AB - When some variables to be used in a regression analysis contain measurement error, the OLS estimator will be inconsistent. When these variables are left out, OLS will also be inconsistent. In an appropriate metric the first type of inconsistency is smaller than the second type.

KW - STOCHASTIC REGRESSORS

KW - CONSISTENT SETS

KW - ERRORS

KW - MATRICES

KW - MODEL

M3 - Article

SN - 0024-3795

VL - 237

SP - 301

EP - 312

JO - Linear Algebra and Its Applications

JF - Linear Algebra and Its Applications

ER -