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Mismeasured and unobserved variables

In: Handbook of Econometrics

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  • Schennach, Susanne M.

Abstract

This chapter overviews the recent progress towards the identification and the estimation of models in which some of the variables are either imperfectly measured or even entirely unobserved, with a special focus on models with nonlinear, nonparametric, nonclassical or nonseparable features. Starting from the basic treatment of nonlinear models with measurement error assuming a known measurement error distribution or validation data availability, we then turn to the methods relying on more readily available auxiliary variables (such as repeated measurements, instrumental variables or general indicators). These models are then extended to fully nonlinear nonparametric and nonseparable factor models and to general latent (i.e. unobserved) variables models, in which the features of the latent variables are indirectly inferred from their effects on observables. We also identify important connections with related fields, such as nonlinear panel data, limited dependent variables, game theoretic models, dynamic models and set-identification.

Suggested Citation

  • Schennach, Susanne M., 2020. "Mismeasured and unobserved variables," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 487-565, Elsevier.
    • Handle: RePEc:eee:ecochp:7a-487
    DOI: 10.1016/bs.hoe.2020.07.001
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    Cited by:

    1. Molinari, Francesca, 2020. "Microeconometrics with partial identification," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 355-486, Elsevier.
    2. Chesher, Andrew & Rosen, Adam M., 2020. "Generalized instrumental variable models, methods, and applications," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 1-110, Elsevier.

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    Keywords

    Latent variables; errors-in-variables; nonclassical errors; factor models; misclassification; set-identification;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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