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RE: st: eivreg and deming


From   <Risto.Herrala@bof.fi>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: eivreg and deming
Date   Wed, 2 Jun 2010 09:11:18 +0300

Thanks a lot for all the comments! I am afraid that my application is a bit non-standard, which may mean that I have gotten off the track somewhere. But the responses made me see some links with other approaches.

I am using a two-step approach. In the first stage I estimate a behavioral constraint econometrically (by stochastic frontier analysis) to get an expected value and an error variance of the constraint. In the second stage I want to estimate the effect of the constraint on behavior. My idea is to use the fitted value from the first stage equation as an imperfect measurement of the constraint, and its variance as the measurement error. I am currently trying to figure out whether I am on the right track, From what you tell me I get that eivreg might do the job, and if heteroscedasticity is a problem, the I can use bootstrapping techniques



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
Sent: 1. kesäkuuta 2010 22:46
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: eivreg and deming

Hi:

If your independent variables are exogenous, but badly measured that 
eivreg will do the job fine.  You can bootstrap the SE if they are 
heteroscedastic.

Best,
J.

____________________________________________________

Prof. John Antonakis, Associate Dean 
Faculty of Business and Economics
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 11:12, Risto.Herrala@bof.fi wrote:
> Hi
> I's 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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