Bias correction through filtering omitted variables and instruments

DOI10.1080/02664763.2015.1077376OpenAlexW2302648770MaRDI QIDQ5138037

Andrea Beccarini

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2015.1077376

zbMATH Keywords

particle filtersimultaneous equations biasomitted variables bias

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• System Identification Toolbox

Cites Work

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• System identification of nonlinear state-space models
• Analysis of time series subject to changes in regime
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• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• Extensions of estimation methods using the EM algorithm
• The Estimation of Economic Relationships using Instrumental Variables
• The EM Algorithm and Extensions, 2E
• Eliminating the omitted variable bias by a regime-switching approach
• Monte Carlo Smoothing for Nonlinear Time Series
• Relative Asymptotic Bias from Errors of Omission and Measurement
• Identifiability of a Linear Relation between Variables Which Are Subject to Error

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