tag:blogger.com,1999:blog-2198942534740642384.post835845461310274213..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Some Official Data Come With Standard Errors!Dave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-2198942534740642384.post-91560126011590186712013-05-02T09:22:26.321-07:002013-05-02T09:22:26.321-07:00I hadn't thought about this one deeply. I'...I hadn't thought about this one deeply. I'm vaguely aware of the errors in measurement literature, but have never seriously read it. Given that I'm a Ph.D. statistician, I don't expect my colleagues doing policy research would have gotten near the stuff.<br /><br />I'm wondering if there is some simple advice that we could give that would be not too stupid. For example instead of doing least squares (or MLE) do a weighted least squares using the precision (inverse of the squared standard errors) as a weight.<br /><br />If I had the time to seriously think about it, I think I could dress that recommendation up with an empirical Bayes justification. But that is not my goal, my goal here is to find something I can recommend to somebody, that they can do in SPSS without too much difficulty that will be a little bit closer to correct than ignoring the heteroscedasticity.ralmondhttps://www.blogger.com/profile/05940072941068366047noreply@blogger.com