Recommendations about estimating errors-in-variables regression in Stata

• Autores: J. R. Lockwood, Daniel F. McCaffrey
• Localización: The Stata journal, ISSN 1536-867X, Vol. 20, Nº. 1, 2020, págs. 116-130
• Idioma: inglés
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• Resumen

  • Errors-in-variables (EIV) regression is a standard method for consistent estimation in linear models with error-prone covariates. The Stata commands eivreg and sem both can be used to compute the same EIV estimator of the regression coefficients. However, the commands do not use the same methods to estimate the standard errors of the estimated regression coefficients. In this article, we use analysis and simulation to demonstrate that standard errors reported by eivreg are negatively biased under assumptions typically made in latent-variable modeling, leading to confidence interval coverage that is below the nominal level. Thus, sem alone or eivreg augmented with bootstrapped standard errors should be preferred to eivreg alone in most practical applications of EIV regression.