Wednesday, August 26, 2015

Biased Estimation of Marginal Effects

I began a recent post with the comment:
"One thing that a lot of practitioners seem to be unaware of (or they choose to ignore it) is that in many of the common situations where we use regression analysis to estimate elasticities, these estimators are biased.
And that's true even if all of the conditions needed for the coefficient estimator (e.g., OLS) to be unbiased are fully satisfied."
Exactly the same point can be made in respect of estimated marginal effects, and that's what this post is about.