Unobserved Heterogeneity or Measurement Errors? Testing for Correlated Effects with Measurement Errors *
提出一个两阶段检验程序，用于区分回归元与误差项相关是由未观测异质性还是测量误差导致，并用模拟数据评估其统计性能。
Abstract This paper addresses the problem of endogenous regressors due to the presence of unobserved heterogeneity, when this is correlated with the regressors, and caused by regressors’ measurement errors. A simple two‐stage testing procedure is proposed for the identification of the underlying cause of correlation between regressors and the error term. The statistical performance of the resulting sequential test is assessed using simulated data.