Estimation in Binary Choice Models with Measurement Errors

David Edgerton and Peter Jochumzen ()
Additional contact information
Peter Jochumzen: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden, http://www.nek.lu.se/en/contact

No 2003:4, Working Papers from Lund University, Department of Economics

Abstract: In this paper we develop a simple maximum likelihood estimator for probit models where the regressors have measurement error. We first assume precise information about the reliability ratios (or, equivalently, the proxy correlations) of the regressors. We then show how reasonable bounds for the parameter estimates can be obtained when only imprecise information is available. The analysis is also extended to situations where the measurement error has non-zero mean and is correlated with the true values of the regressors. An extensive simulation study shows that the estimator works very well, even in quite small samples. Finally the method is applied to data explaining sick leave in Sweden.

Keywords: Measurement error; errors-in-variables; probit; binary choice; bounds (search for similar items in EconPapers)
JEL-codes: C25 C29 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2003-04-16, Revised 2003-07-07
New Economics Papers: this item is included in nep-dcm and nep-ecm
Note: Gauss program available
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://project.nek.lu.se/publications/workpap/Papers/WP03_4.txt Gauss program (text/plain)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to project.nek.lu.se:80 (No such host is known. )
http://project.nek.lu.se/publications/workpap/Papers/WP03_4.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to project.nek.lu.se:80 (No such host is known. )
http://project.nek.lu.se/publications/workpap/Papers/WP03_4.zip Zipped Working Paper (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to project.nek.lu.se:80 (No such host is known. )

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:lunewp:2003_004

Access Statistics for this paper

More papers in Working Papers from Lund University, Department of Economics School of Economics and Management, Box 7080, S-22007 Lund, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Iker Arregui Alegria ().