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Thread: Regression dilution / errors in variables problem

  1. #1
    Junior Member
    Aug 2011

    Regression dilution / errors in variables problem

    Consider the following

    y = b0 + x + b2 y(t-1) + e1

    x= b3 x(t-1) + e2

    where e1 and e2 are normal mean zero error terms.

    Now we wish to find d E(y) / d y (t-1) where E(y) is the expectation value for y.

    Now we have

    d E(y) / d y (t-1) = b2 + d E(x) / d y (t-1)

    But how do we find

    d E(x) / d y (t-1) ?

    If not for the b2 y(t-1) term in the first equation we could find it via the standard regression dilution equation.
    Last edited by frustrated; Jun 18th 2019 at 07:05 AM. Reason: clarity
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