Econometrica Vol. 66 No. 1 1998
Semiparametric Latent Variable Model Estimation with Endogenous or Mismeasured Regressors
Abstract
A simple root n consistent, asymptotically normal semiparametric estimator of the coefficient vector beta in the latent variable specification y = L (beta'x + e) is constructed. The distribution of e is unknown and may be correlated with x or be conditionally heteroscedastic, e.g., x can contain measurement error. The function L can also be unknown. The identification assumption is that e is uncorrelated with instruments u and that the conditional distribution of e given x and u does not depend on one of the regressors, which has some special properties. Extensions to more general latent variable specifications are provided.
- DOI
- 10.2307/2998542
- Volume
- 66
- Issue
- 1
- Pages
- 105
- Sources
- bibtex:phds-export.bib crossref openalex