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st: Correcting for heterogeneous measurement errors in linear regressions
I'd like to run a regression:
yi = a + ß * xi + ei
where xi is a true, but unobserved, independent variable.
The observed explanatory variable, which I estimated in a previous
regression, is measured with error:
Xi = xi + ui.
where Xi is the estimated regression coefficient and ui is the measurement
error in Xi with mean 0 and a known variance ?2u,i (this variance is equal
to the square of the estimated standard errors reported on the estimates
I know that there are two STATA commands that deal with measurement error,
EIVREG and RCAL.
However, I think that both commands allow only for constant measurement
error, whereas my measurement error is heterogeneous and varies with
How can I correct for heterogeneous measurement errors in STATA?
Thank you very much for your help!
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