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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: RE: eivreg and deming |

Date |
Tue, 01 Jun 2010 23:16:51 +0200 |

y=b0+b1x*+e

x=x*+u, or x*=x-u Now substituting the above into the first equation gives: y=b0+b1(x-u)+e Expanding and rearranging the terms gives: y=b0+b1x+(e-b1u)

Ref:

Maddala, G. S. (1977). Econometrics. New York: McGraw-Hill. Best, J. ____________________________________________________

Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 01.06.2010 22:23, Nick Cox wrote:

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 beused so long as you have a good idea about reliability.Nickn.j.cox@durham.ac.ukJohn AntonakisOne example where eivreg is perfectly legitimate to use: IQ is mostlyexogenous (determined by genes); so, if we have a non-so-perfect proxyof IQ, we can estimate its reliability (empirically via test-retest orvia internal consistency) and thus "purge" the endogeneity bias due tomeasurement error. This is much easier to do and more defensible thantrying to instrument IQ. I would be hard pressed to find a goodinstrument for IQ.On 01.06.2010 19:43, Nick Cox wrote:Compared with what? is a flip but nevertheless I suggest also a fairanswer.I can't comment on Tony's specifics here -- as there aren't any! --butI guess that many people feel queasy in this territory becausedecidingon a proper treatment of situations in which all variables are subject to error is very demanding. There are so many things to be specifiedabout 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 (mydescription not theirs!).By the way, many economists and econometricians seem fixated on using instrumental variables in this situation, but such methods don'texhaustthe possibilities.Nickn.j.cox@durham.ac.ukLachenbruch, 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? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: RE: eivreg and deming***From:*"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>

**References**:**st: eivreg and deming***From:*<Risto.Herrala@bof.fi>

**st: RE: eivreg and deming***From:*"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>

**st: RE: RE: eivreg and deming***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: RE: eivreg and deming***From:*John Antonakis <john.antonakis@unil.ch>

**RE: st: RE: RE: eivreg and deming***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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