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st: RE: RE: eivreg and deming


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: eivreg and deming
Date   Tue, 1 Jun 2010 18:43:24 +0100

Compared with what? is a flip but nevertheless I suggest also a fair
answer. 

I can't comment on Tony's specifics here -- as there aren't any! -- but
I guess that many people feel queasy in this territory because deciding
on a proper treatment of situations in which all variables are subject
to error is very demanding. There are so many things to be specified
about error structure. 

StataCorp's own feelings appear mixed too: there is a bundle of good
stuff at http://www.stata.com/merror that is semi-official (my
description not theirs!). 

By the way, many economists and econometricians seem fixated on using
instrumental variables in this situation, but such methods don't exhaust
the possibilities. 

Nick 
n.j.cox@durham.ac.uk 

Lachenbruch, Peter

At a seminar not long ago, an eminent statistician commented that EIV
was not very useful and led to more problems (he didn't specify what
they were) that it was worth.  Anyone else have similar experience?

Risto.Herrala@bof.fi

I need to do errors in variables regression, where the errors are
heteroscedastic. A Stata user has programmed a 'deming' ado -file for
this purpose. Does anyone have experience of its use?

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