Arbeitspapier

Multiplicative measurement error and the simulation extrapolation method

Whereas the literature on additive measurement error has known a considerable treatment, less work has been done for multiplicative noise. In this paper we concentrate on multiplicative measurement error in the covariates, which contrary to additive error not only modifies proportionally the original value, but also conserves the structural zeros. This paper compares three variants to specify the multiplicative measurement error model in the simulation step of the Simulation-Extrapolation (SIMEX) method originally proposed by Cook and Stefanski (1994): i) as an additive one without using a logarithmic transformation, ii) as the well-known logarithmic transformation of the multiplicative error model, and iii) as an approach using the multiplicative measurement error model as such. The aim of the paper is to analyze how well these three approaches reduce the bias caused by the multiplicative measurement error. We apply three variants to the case of data masking by multiplicative measurement error, in order to obtain parameter estimates of the true data generating process. We produce Monte Carlo evidence on how the reduction of data quality can be minimized.

Sprache
Englisch

Erschienen in
Series: IAW Diskussionspapiere ; No. 39

Klassifikation
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Thema
Errors-in-variables in nonlinear models
disclosure limitation methods
multiplicative error
Statistischer Fehler
Datenqualität
Probit-Modell
Monte-Carlo-Methode
Theorie

Ereignis
Geistige Schöpfung
(wer)
Biewen, Elena
Nolte, Sandra
Rosemann, Martin
Ereignis
Veröffentlichung
(wer)
Institut für Angewandte Wirtschaftsforschung (IAW)
(wo)
Tübingen
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Biewen, Elena
  • Nolte, Sandra
  • Rosemann, Martin
  • Institut für Angewandte Wirtschaftsforschung (IAW)

Entstanden

  • 2008

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