Covariate Measurement Error: Bias Reduction under Response-Based Sampling
AbstractIn this paper we propose a general framework to deal with the presence of covariate measurement error (CME) in response-based (RB) samples. Using Chesher's (1991) methodology, we obtain a small error variance approximation for the contaminated sampling distributions that characterize RB samples with CME. Then, following Chesher (2000), we develop the generalized method of moments (GMM) estimators that reduce the bias of the most well known likelihood-based estimators for RB samples which ignore the existence of CME and derive a score test to detect the presence of this type of measurement error. Our approach only requires the specification of the conditional distribution of the response variable given the latent covariates and the classical additive measurement error model assumption, the availability of information on both the marginal probability of the strata in the population and the variance of the measurement error not being essential. Monte Carlo evidence is presented which suggests that, in RB samples of moderate sizes, the bias-reduced GMM estimators perform well.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 14 (2010)
Issue (Month): 4 (September)
Contact details of provider:
Web page: http://www.degruyter.com
Other versions of this item:
- Esmeralda Ramalho, 2009. "Covariate Measurement Error:Bias Reduction under Response-based Sampling," CEFAGE-UE Working Papers 2009_15, University of Evora, CEFAGE-UE (Portugal).
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Imbens, Guido W, 1992.
"An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling,"
Econometric Society, vol. 60(5), pages 1187-214, September.
- Imbens, G., 1990. "An Efficient Method of Moments Estimator for Discrete Choice Models with Choice-Based Sampling," Discussion Paper 1990-9, Tilburg University, Center for Economic Research.
- Imbens, G.W., 1990. "An Efficient Method Of Moments Estimator For Descrete Choice Models With Choice-Based Sampling," Papers 9009, Tilburg - Center for Economic Research.
- Imbens, G.W., 1991. "An Efficient Method Of Moments Estimator For Discrete Choice Models With Choice-Based Sampling," Harvard Institute of Economic Research Working Papers 1546, Harvard - Institute of Economic Research.
- Imbens, G. & Lancaster, T., 1991.
"Efficient Estimation And Stratified Sampling,"
Harvard Institute of Economic Research Working Papers
1545, Harvard - Institute of Economic Research.
- Cosslett, Stephen R, 1981. "Maximum Likelihood Estimator for Choice-Based Samples," Econometrica, Econometric Society, vol. 49(5), pages 1289-1316, September.
- Andrew Chesher & Christian Schluter, 2001.
"Welfare measurement and measurement error,"
CeMMAP working papers
CWP03/01, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Andrew Chesher & Christian Schluter, 2002. "Welfare Measurement and Measurement Error," Review of Economic Studies, Oxford University Press, vol. 69(2), pages 357-378.
- Chesher, Andrew & Schluter, Christian, 2002. "Welfare Measurement and Measurement Error," Review of Economic Studies, Wiley Blackwell, vol. 69(2), pages 357-78, April.
- Susanne M. Schennach, 2004.
"Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models,"
Econometric Society 2004 North American Summer Meetings
602, Econometric Society.
- Susanne M Schennach, 2007. "Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models," Econometrica, Econometric Society, vol. 75(1), pages 201-239, 01.
- 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.
- Esmeralda Ramalho & Joaquim Ramalho, 2006.
"Bias-Corrected Moment-Based Estimators for Parametric Models Under Endogenous Stratified Sampling,"
Taylor & Francis Journals, vol. 25(4), pages 475-496.
- Joaquim J.S. Ramalho & Esmeralda Ramalho, 2005. "Bias-corrected Moment-based Estimators for Parametric Models under Endogenous Stratified Sampling," Economics Working Papers 11_2005, University of Évora, Department of Economics (Portugal).
- Manski, Charles F & Lerman, Steven R, 1977. "The Estimation of Choice Probabilities from Choice Based Samples," Econometrica, Econometric Society, vol. 45(8), pages 1977-88, November.
- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
- Andrew Chesher & Richard J. Smith, 1997. "Likelihood Ratio Specification Tests," Econometrica, Econometric Society, vol. 65(3), pages 627-646, May.
- Wang, C. Y. & Wang, Suojin & Carroll, R. J., 1997. "Estimation in choice-based sampling with measurement error and bootstrap analysis," Journal of Econometrics, Elsevier, vol. 77(1), pages 65-86, March.
- Jeffrey M. Wooldridge, 1999. "Asymptotic Properties of Weighted M-Estimators for Variable Probability Samples," Econometrica, Econometric Society, vol. 67(6), pages 1385-1406, November.
- Schennach, Susanne M., 2004. "Nonparametric Regression In The Presence Of Measurement Error," Econometric Theory, Cambridge University Press, vol. 20(06), pages 1046-1093, December.
- Wooldridge, Jeffrey M., 2001. "Asymptotic Properties Of Weighted M-Estimators For Standard Stratified Samples," Econometric Theory, Cambridge University Press, vol. 17(02), pages 451-470, April.
- Chesher, Andrew & Santos Silva, J M C, 2002.
"Taste Variation in Discrete Choice Models,"
Review of Economic Studies,
Wiley Blackwell, vol. 69(1), pages 147-68, January.
- Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Golla).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.