Abstract
In this paper, we extend the structural probit measurement error model by considering that the unobserved covariate follows a skew-normal distribution. The new model is termed the structural skew-normal probit model. As in the normal case, the likelihood function is obtained analytically which can be maximized by using existing statistical software. A Bayesian approach using Markov chain Monte Carlo techniques to generate from the posterior distributions is also developed. A simulation study demonstrates the usefulness of the approach in avoiding attenuation which is the case with the naive procedure and it seems to be more efficient than using the structural probit model when the distribution of the covariate (predictor) is skew.
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