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Covariate measurement and endogeneity

Daniel Millimet ()

Economics Letters, 2015, vol. 136, issue C, 59-63

Abstract: The effects of improving covariate measurement are investigated when the covariate is endogenous even in the absence of measurement error. Reducing measurement error can exacerbate the finite sample bias of Two-Stage Least Squares. An application reveals this is of practical importance.

Keywords: Measurement error; Endogeneity; Two-Stage Least Squares (search for similar items in EconPapers)
JEL-codes: C36 C81 (search for similar items in EconPapers)
Date: 2015
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