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Thread: Measurement error

  1. #1
    Fortran must die
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    Measurement error




    An econometrician I am reading notes that if the IV are measured with error the least square estimators [the slopes] are biased towards zero. I assume, I doubt you can ever know, that most measurement with real world data are imperfect.

    Which raises question how useful regression really is with such data

    See now I have an excuse not to spend vast amounts of time trying to understand this stuff
    "Very few theories have been abandoned because they were found to be invalid on the basis of empirical evidence...." Spanos, 1995

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    Re: Measurement error

    In epidemiological studies there are many papers dedicated to this topic, in particular whether causality can still be assumed. The big follow-up procedure is then conducting sensitivity analysis.
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    noetsi (12-30-2014)

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    Re: Measurement error

    I am familiar with financial sensitivity. I have not seen it with statistics. Something to look for.
    "Very few theories have been abandoned because they were found to be invalid on the basis of empirical evidence...." Spanos, 1995

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    Re: Measurement error

    Structural Equation Models (aka 'Simultaneous Equations' in econometrics) allows you to model stuff while controlling for measurement error.
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    Re: Measurement error


    Have to go back and get out my SEM class notes.
    "Very few theories have been abandoned because they were found to be invalid on the basis of empirical evidence...." Spanos, 1995

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