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RE: st: RE: RE: eivreg and deming


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: RE: eivreg and deming
Date   Tue, 1 Jun 2010 21:23:17 +0100

Here as elsewhere I note that the exogenous-endogenous terminology is
one widely used by economists and not one that is natural or even
familiar to many of us outside economics. That aside, I do agree that
-eivreg- is a method not requiring instrumental variables which could be
used so long as you have a good idea about reliability. 

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

John Antonakis

One example where eivreg is perfectly legitimate to use: IQ is mostly 
exogenous (determined by genes); so, if we have a non-so-perfect proxy 
of IQ, we can estimate its reliability (empirically via test-retest or 
via internal consistency) and thus "purge" the endogeneity bias due to 
measurement error. This is much easier to do and more defensible than 
trying to instrument IQ.  I would be hard pressed to find a good 
instrument for IQ.

On 01.06.2010 19:43, Nick Cox wrote:

> 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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