Further Results on the Errors-in-the-Variables Problem

by Richard V.L. Cooper, Joseph P. Newhouse


Purchase Print Copy

 FormatList Price Price
Add to Cart Paperback14 pages $20.00 $16.00 20% Web Discount

Notes on the omission of two important aspects of the errors-in-the-variables problem — the effects on the power of the [t]-statistic test when the explanatory variables in an OLS regression contain measurement errors, and the case in which there is measurement error in more than one explanatory variable. This paper is concerned with the effects of measurement errors in one or more explanatory variables on the asymptotic bias of the coefficients and the [t]-test. The discussion progresses from examination of a simple regression model with one explanatory variable, to a model with two explanatory variables, and finally, an expansion to the [n]-variable model by way of partitioning.

This report is part of the RAND Corporation Paper series. The paper was a product of the RAND Corporation from 1948 to 2003 that captured speeches, memorials, and derivative research, usually prepared on authors' own time and meant to be the scholarly or scientific contribution of individual authors to their professional fields. Papers were less formal than reports and did not require rigorous peer review.

Our mission to help improve policy and decisionmaking through research and analysis is enabled through our core values of quality and objectivity and our unwavering commitment to the highest level of integrity and ethical behavior. To help ensure our research and analysis are rigorous, objective, and nonpartisan, we subject our research publications to a robust and exacting quality-assurance process; avoid both the appearance and reality of financial and other conflicts of interest through staff training, project screening, and a policy of mandatory disclosure; and pursue transparency in our research engagements through our commitment to the open publication of our research findings and recommendations, disclosure of the source of funding of published research, and policies to ensure intellectual independence. For more information, visit www.rand.org/about/research-integrity.

The RAND Corporation is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.