Series: Advanced Textbooks in Economics

The aim of the series is to cover topics in economic, mathematical economics and econometrics, at a level suitable for graduate students or final year undergraduates specialising in economics. There is at any time much material that has become well established in journal papers and discussion series which still awaits a clear, self-contained treatment that can easily be mastered by students without considerable preparation or extra reading. Leading specialists are invited to contribute volumes to fill such gaps. Primary emphasis will be placed on clarity, comprehensive coverage of sensibly defined areas, and insight into fundamentals, but original ideas will not be excluded. Certain volumes will therefore add to existing knowledge, while others will serve as a means of communicating both known and new ideas in a way that will inspire and attract students not already familiar with the subject matter concerned.
Measurement Error and Latent Variables in Econometrics

Most recent volume

Volume 37. Measurement Error and Latent Variables in Econometrics

Published: 8th December 2000 Editors: T. Wansbeek E. Meijer
The book first discusses in depth various aspects of the well-known inconsistency that arises when explanatory variables in a linear regression model are measured with error. Despite this inconsistency, the region where the true regression coeffecients lies can sometimes be characterized in a useful way, especially when bounds are known on the measurement error variance but also when such information is absent. Wage discrimination with imperfect productivity measurement is discussed as an important special case.

Next, it is shown that the inconsistency is not accidental but fundamental. Due to an identification problem, no consistent estimators may exist at all. Additional information is desirable. This information can be of various types. One type is exact prior knowledge about functions of the parameters. This leads to the CALS estimator. Another major type is in the form of instrumental variables. Many aspects of this are discussed, including heteroskedasticity, combination of data from different sources, construction of instruments from the available data, and the LIML estimator, which is especially relevant when the instruments are weak.

The scope is then widened to an embedding of the regression equation with measurement error in a multiple equations setting, leading to the exploratory factor analysis (EFA) model. This marks the step from measurement error to latent variables. Estimation of the EFA model leads to an eigenvalue problem. A variety of models is reviewed that involve eignevalue problems as their common characteristic.

EFA is extended to confirmatory factor analysis (CFA) by including restrictions on the parameters of the factor analysis model, and next by relating the factors to background variables. These models are all structural equation models (SEMs), a very general and important class of models, with the LISREL model as its best-known representation, en

Additional volumes

Volume 36. Principles of Macroeconometric Modeling

Published: 21st September 1999 Editors: L.R. Klein W. Welfe A. Welfe

Mathematical Economic Theory

Published: 19th December 1994 Editors: V.L. Makarov M.J. Levin A.M. Rubinov

Volume 34. Pricing and Price Regulation

Published: 24th November 1994 Editors: D. Bös

Volume 32. Notes and Problems in Applied General Equilibrium Economics

Published: 27th March 1992 Editors: K.R. Pearson B.R. Parmenter A.A. Powell P.J. Wilcoxen P.B. Dixon

Volume 31. Dynamic Optimization

Published: 11th October 1991 Editors: M.I. Kamien N.L. Schwartz†

Volume 30. Microeconomics

Published: 9th October 1990 Editors: M.C. Blad H. Keiding

Volume 29. Economics of Insurance

Published: 14th December 1989 Editors: K.H. Borch A. Sandmo K.K. Aase

Public Enterprise Economics

Published: 27th October 1989 Editors: D. Bös

Volume 26. History of Economic Theory

Published: 1st June 1989 Editors: T. Negishi

Differential Equations, Stability and Chaos in Dynamic Economics

Published: 1st May 1989 Editors: W.A. Brock A.G. Malliaris

Volume 24. Optimal Control Theory with Economic Applications

Published: 1st February 1987 Editors: A. Seierstad K. Sydsæter

Volume 23. Public Enterprise Economics

Published: 1st January 1989 Editors: C. J. Bliss Dieter Bös M. D. Intriligator

Equilibrium Analysis

Published: 1st September 1988 Editors: A.P. Kirman W. Hildenbrand

Capital Markets and Prices

Published: 1st September 1986 Editors: C.G. Krouse

Volume 21. The Economics of Organization

Published: 1st January 1983 Editors: C.J. Bliss James D. Hess M.D. Intriligator

Volume 18. The Strategy of Social Choice

Published: 1st January 1983 Editors: C.J. Bliss H. Moulin M.D. Intriligator

Volume 17. Stochastic Methods in Economics and Finance

Published: 1st December 1981 Editors: A.G. Malliaris W.A. Brock

Volume 13. Investment

Published: 1st January 1971 Editors: C. J. Bliss Philip J. Lund M. D. Intriligator

Volume 12. General Competitive Analysis

Published: 31st December 1983 Editors: Kenneth Arrow F.H. Hahn

Volume 11. Collective Choice and Social Welfare

Published: 1st January 1984 Editors: A.K. Sen

Volume 7. Foundations of Econometrics

Published: 1st January 1976 Editors: C. J. Bliss Albert Madansky M. D. Intriligator

Volume 6. Introduction to Equilibrium Analysis

Published: 1st January 1976 Editors: C. J. Bliss W. Hildenbrand M. D. Intriligator A. P. Kirman

Volume 5. Applied Consumption Analysis

Published: 1st October 1983 Editors: L. Phlips

Volume 4. Capital Theory and the Distribution of Income

Published: 1st January 1975 Editors: C. J. Bliss C. J. Bliss

Volume 2. Lectures on Microeconomic Theory

Published: 1st May 1985 Editors: E. Malinvaud

Introduction to the Use of General Equilibrium Analysis

Published: 1st January 1984 Editors: R.R. Cornwall

Lectures in Econometrics

Published: 1st January 1983 Editors: L.R. Klein W. Welfe

International Trade and Resource Allocation

Published: 1st October 1982 Editors: A.D. Woodland

Distributed Lags

Published: 1st January 1981 Editors: P.J. Dhrymes

Notes and Problems in Microeconomic Theory

Published: 1st January 1980 Editors: Peter Dixon S. Bowles David Kendrick L. Taylor M. Roberts

Volume 1. Variational Methods in Economics

Published: 1st January 1971 Editors: C. J. Bliss G. Hadley M. C. Kemp