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st: Correcting for heterogeneous measurement errors in linear regressions


From   "Jan Lambrecht" <lambrecht@wiwi.uni-frankfurt.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Correcting for heterogeneous measurement errors in linear regressions
Date   Wed, 24 Mar 2004 17:20:05 +0100

Dear Statalisters,

I'd like to run a regression:

yi = a +  * 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
Xi).

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
observations.
How can I correct for heterogeneous measurement errors in STATA?

Thank you very much for your help!

Best regards,
Jan


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