Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171908
Authors: 
Swamy, P. A. V. B.
Mehta, Jatinder S.
Chang, I-Lok
Year of Publication: 
2017
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 5 [Year:] 2017 [Issue:] 1 [Pages:] 1-17
Abstract: 
Using the net effect of all relevant regressors omitted from a model to form its error term is incorrect because the coefficients and error term of such a model are non-unique. Non-unique coefficients cannot possess consistent estimators. Uniqueness can be achieved if; instead; one uses certain 'sufficient sets' of (relevant) regressors omitted from each model to represent the error term. In this case; the unique coefficient on any non-constant regressor takes the form of the sum of a bias-free component and omitted-regressor biases. Measurement-error bias can also be incorporated into this sum. We show that if our procedures are followed; accurate estimation of bias-free components is possible.
Subjects: 
endogenous variable
exogenous variable
time-varying coefficient
unique coefficient and error term
accurate estimation of bias-free component
JEL: 
C13
C51
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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