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.
Book Series: Measurement Error and Latent Variables in Econometrics

Most recent volume

Volume 37. Measurement Error and Latent Variables in Econometrics

Published: 8th December 2000 Authors: 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, encompassing almost all linear equation systems with latent variables.

Estimation of SEMs can be viewed as an application of the generalized method of moments (GMM). GMM in general and for SEM in particular is discussed at great length, including the generality of GMM, optimal weighting, conditional moments, continuous updating, simulation estimation, the link with the method of maximum likelihood, and in particular testing and model evaluation for GMM.

The discussion concludes with nonlinear models. The emphasis is on polynomial models and models that are nonlinear due to a filter on the dependent variables, like discrete choice models or models with ordered categorical variables.

Additional volumes

Volume 36. Principles of Macroeconometric Modeling

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

Volume 34. Pricing and Price Regulation

Published: 24th November 1994 Author: D. Bös

Volume 32. Notes and Problems in Applied General Equilibrium Economics

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

Volume 30. Microeconomics

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

Volume 29. Economics of Insurance

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

Volume 26. History of Economic Theory

Published: 1st June 1989 Author: T. Negishi

Volume 23. Public Enterprise Economics

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

Volume 24. Optimal Control Theory with Economic Applications

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

Volume 2. Lectures on Microeconomic Theory

Published: 1st May 1985 Author: E. Malinvaud

Volume 11. Collective Choice and Social Welfare

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

Volume 12. General Competitive Analysis

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

Volume 5. Applied Consumption Analysis

Published: 1st October 1983 Author: L. Phlips

Volume 21. The Economics of Organization

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

Volume 18. The Strategy of Social Choice

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

Volume 17. Stochastic Methods in Economics and Finance

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

Volume 15. Notes and Problems in Microeconomic Theory

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

Volume 7. Foundations of Econometrics

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

Volume 6. Introduction to Equilibrium Analysis

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

Volume 4. Capital Theory and the Distribution of Income

Published: 1st January 1975 Editor: C. J. Bliss Author: C. J. Bliss

Volume 1. Variational Methods in Economics

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

Volume 13. Investment

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