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st: 'robust' for measurement error in X?
posts - I looked through the archives and did not find one that fits my
I am estimating a probit model and include an estimated variable among my
regressors. I would like to adjust the standard errors for the inclusion of an
estimated regressor. I believe this is analogous to adjusting the st. errors
of coefficient estimates for measurement error in an explanatory variable.
My question is: When estimating a probit model, is it appropriate to use the
'robust' option to adjust the standard errors when an explanatory variable is
measured with error?
Many many thanks,
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