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st: Correcting for heterogeneous measurement errors in linearregressions


From   Laura Gibbons <gibbonsl@u.washington.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Correcting for heterogeneous measurement errors in linearregressions
Date   Tue, 1 Nov 2005 09:19:38 -0800 (PST)

In searching the archives I found my exact question, but no answer. I've not heard back from the author, so thought I'd try the list again.

I've got ability estimates from item response theory, so that I know each person's estimate and the error in that estimate, and the error changes from person to person. For more details, please see below. I'd like to be able to use that error term directly in a regression model (rather than some sort of bootstrap). I appreciate any help or direction anyone can give.

many thanks- Laura
--------------------------------------------------------------------------------

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






~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Laura E. Gibbons, PhD
General Internal Medicine, University of Washington
Box 359780
Harborview Medical Center
325 Ninth Avenue, Seattle, WA 98104

phone: 206-744-1842 fax: 206-744-9917
Office address: 401 Broadway, Suite 5122
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~



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