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by VHRanger 3076 days ago
Regression with measurement error is usually treated in much higher level statistics/econometrics classes.

If you're interested in this you can read more in Mostly Harmless Econometrics [1] about adressing this with IV methods

[1] http://www.development.wne.uw.edu.pl/uploads/Main/recrut_eco...

1 comments

To build on this a little bit more, there are also generalized linear models that allow to specify the reliability (i.e., error level) of a variable.

Regarding, 2SLS models, I find them more useful to account for endogeneity in the model rather than measurement error. After all, measurement error is usually unobserved (otherwise you would just take it out). 2SLS “just” reweigh the point estimates by identifying the good variation in the instrumented variable using the instrument (for example, using draft lottery results to account for the endogenous choice to attend college).