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Semiparametric Estimation with Mismeasured Dependent Variables: An Application to Duration Models for Unemployment Spells

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  • Jason ABREVAYA
  • Jerry A. HAUSMAN

Abstract

This paper considers mismeasurement of the dependent variable in a general linear index model, which includes qualitative choice models, proportional and additive hazard models, and censored models as special cases. The monotone rank estimator of Cavanagh and Sherman [1998] is shown to be consistent in the presence of any mismeasurement process that obeys a simple stochastic-dominance condition. The emphasis is on measurement error which is independent of the covariates, but extensions to covariate-dependent measurement error are also discussed. We consider the proportional hazard duration model in detail and apply the estimator to mismeasured unemployment duration data from the Survey of Income and Program Participation (SIPP).

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (1999)
Issue (Month): 55-56 ()
Pages: 243-275

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Handle: RePEc:adr:anecst:y:1999:i:55-56:p:09

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Cited by:
  1. Arthur Lewbel, 2007. "Estimation of Average Treatment Effects with Misclassification," Econometrica, Econometric Society, vol. 75(2), pages 537-551, 03.
  2. Portugal-Perez, Alberto, 2009. "Assessing the impact of political economy factors on rules of origin under NAFTA," Policy Research Working Paper Series 4848, The World Bank.
  3. Andrew Berg & Jonathan D. Ostry & Jeromin Zettelmeyer, 2011. "What makes growth sustained?," Working Papers 133, European Bank for Reconstruction and Development, Office of the Chief Economist.
  4. Hausman, J. A. & Abrevaya, Jason & Scott-Morton, F. M., 1998. "Misclassification of the dependent variable in a discrete-response setting," Journal of Econometrics, Elsevier, vol. 87(2), pages 239-269, September.
  5. Arrieta, Alejandro, 2007. "A Structural Misclassifcation Model to Estimate the Impact of Physician Incentives on Healthcare Utilization," MPRA Paper 6718, University Library of Munich, Germany.
  6. Charles Bellemare, 2004. "Identification and Estimation of the Economic Performance of Outmigrants using Panel Attrition," Cahiers de recherche 0429, CIRPEE.
  7. Ramalho, Esmeralda A., 2002. "Regression models for choice-based samples with misclassification in the response variable," Journal of Econometrics, Elsevier, vol. 106(1), pages 171-201, January.
  8. Molinari, Francesca, 2008. "Partial identification of probability distributions with misclassified data," Journal of Econometrics, Elsevier, vol. 144(1), pages 81-117, May.
  9. Sullivan, Paul, 2006. "Estimation of an Occupational Choice Model when Occupations are Misclassified," MPRA Paper 862, University Library of Munich, Germany.
  10. Sean Murphy & Robert Rosenman & Jon Yoder & Dan Firesner, 2008. "Patients' Perceptions and Treatment Effectiveness," Working Papers 2008-19, School of Economic Sciences, Washington State University.
  11. Raj Chetty, 2004. "Optimal Unemployment Insurance When Income Effects are Large," NBER Working Papers 10500, National Bureau of Economic Research, Inc.
  12. Patrick Van Roy, 2005. "Is there a difference in treatment between solicited and unsolicited bank ratings and, if so, why?," Finance 0509012, EconWPA.
  13. Montezuma Dumangane, 2006. "Measurement Error Bias Reduction in Unemployment Durations," CeMMAP working papers CWP03/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  14. Scott Stern, 1999. "Do Scientists Pay to Be Scientists?," NBER Working Papers 7410, National Bureau of Economic Research, Inc.
  15. Stephen Jenkins & Peter Lambert, 2011. "Robert Moffitt and Peter Gottschalk’s 1995 paper ‘Trends in the covariance structure of earnings in the US: 1969–1987’," Journal of Economic Inequality, Springer, vol. 9(3), pages 433-437, September.

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