Search results for "Proxy variables"

showing 1 items of 1 documents

BALANCED VARIABLE ADDITION IN LINEAR MODELS

2018

This paper studies what happens when we move from a short regression to a long regression in a setting where both regressions are subject to misspecification. In this setup, the least-squares estimator in the long regression may have larger inconsistency than the least-squares estimator in the short regression. We provide a simple interpretation for the comparison of the inconsistencies and study under which conditions the additional regressors in the long regression represent a “balanced addition” to the short regression.

Economics and EconometricsBias amplificationMean squared errorOmitted variable05 social sciencesLinear modelEstimatorSettore SECS-P/05 - EconometriaProxy variableProxy variablesInconsistencyRegressionVariable (computer science)0502 economics and businessLeast-squares estimatorsEconometricsEconomicsMean squared errorLeast-squares estimatorOmitted variables050207 economics050205 econometrics
researchProduct