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Structural Measurement Errors in Nonseparable Models

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  • Stefan Hoderlein

    (Boston College)

  • Joachim Winter

    ()
    (University of Munich)

Abstract

This paper considers measurement error from a new perspective. In surveys, response errors are often caused by the fact that respondents recall past events and quantities imperfectly. We explore the consequences of recall errors for such key econometric issues as the identification of marginal effects or economic restrictions in structural models. Our identification approach is entirely nonparametric, using Matzkin-type nonseparable models that nest a large class of potential structural models. We establish that measurement errors due to poor recall are generally likely to exhibit nonstandard behavior, in particular be nonclassical and differential, and we provide means to deal with this situation. Moreover, our findings suggest that conventional wisdom about measurement errors may be misleading in many economic applications. For instance, under certain conditions left-hand side recall errors will be problematic even in the linear model, and quantiles will be less robust than means. Finally, we apply the main concepts put forward in this paper to real world data, and find evidence that underscores the importance of focusing on individual response behavior.

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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 750.

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Date of creation: 29 Jan 2009
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Handle: RePEc:boc:bocoec:750

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Keywords: Measurement Error; Nonparametric; Survey Design; Nonseparable Model; Identification; Zero Homogeneity; Demand;

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References

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  1. Whitney Newey & Guido Imbens, 2004. "Identification and Estimation of Triangular Simultaneous Equations Models without Additivity," Econometric Society 2004 North American Summer Meetings 594, Econometric Society.
  2. Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
  3. Dean R. Hyslop & Guido W. Imbens, 2000. "Bias from Classical and Other Forms of Measurement Error," NBER Technical Working Papers 0257, National Bureau of Economic Research, Inc.
  4. Rosa L. Matzkin, 2007. "Nonparametric Survey Response Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1411-1427, November.
  5. Joseph G. Altonji & Rosa L. Matzkin, 2005. "Cross Section and Panel Data Estimators for Nonseparable Models with Endogenous Regressors," Econometrica, Econometric Society, vol. 73(4), pages 1053-1102, 07.
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  7. Das, J.W.M. & Dominitz, J. & Soest, A.H.O. van, 1997. "Comparing Predictions and Outcomes: Theory and Application to Income Changes," Discussion Paper 1997-45, Tilburg University, Center for Economic Research.
  8. Erich Battistin & Raffaele Miniaci & Guglielmo Weber, 2003. "What Do We Learn from Recall Consumption Data?," Journal of Human Resources, University of Wisconsin Press, vol. 38(2).
  9. Yingyao Hu & Susanne Schennach, 2006. "Identification and estimation of nonclassical nonlinear errors-in-variables models with continuous distributions using instruments," CeMMAP working papers CWP17/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  10. Martin Browning & Thomas F. Crossley & Gugliemo Weber, 2002. "Asking Consumption Questions in General Purpose Surveys," CAM Working Papers 2002-05, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  11. Bound, John & Brown, Charles & Mathiowetz, Nancy, 2001. "Measurement error in survey data," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 59, pages 3705-3843 Elsevier.
  12. Hoderlein, Stefan & Winter, Joachim, 2010. "Structural measurement errors in nonseparable models," Journal of Econometrics, Elsevier, vol. 157(2), pages 432-440, August.
  13. Michael Hurd & Susann Rohwedder, 2009. "Methodological Innovations in Collecting Spending Data: The HRS Consumption and Activities Mail Survey," Fiscal Studies, Institute for Fiscal Studies, vol. 30(Special I), pages 435-459, December.
  14. Stefan Hoderlein, 2009. "How many consumers are rational?," CeMMAP working papers CWP32/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  15. Datta, Somnath, 1995. "On a modified bootstrap for certain asymptotically nonnormal statistics," Statistics & Probability Letters, Elsevier, vol. 24(2), pages 91-98, August.
  16. Philipson, Tomas, 1997. "Data Markets and the Production of Surveys," Review of Economic Studies, Wiley Blackwell, vol. 64(1), pages 47-72, January.
  17. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  18. Jerry Hausman, 2001. "Mismeasured Variables in Econometric Analysis: Problems from the Right and Problems from the Left," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 57-67, Fall.
  19. Hausman, J. A. & Newey, W. K. & Powell, J. L., 1995. "Nonlinear errors in variables Estimation of some Engel curves," Journal of Econometrics, Elsevier, vol. 65(1), pages 205-233, January.
  20. Philipson, Tomas, 2001. "Data Markets, Missing Data, and Incentive Pay," Econometrica, Econometric Society, vol. 69(4), pages 1099-1111, July.
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Cited by:
  1. Schennach, Susanne & White, Halbert & Chalak, Karim, 2012. "Local indirect least squares and average marginal effects in nonseparable structural systems," Journal of Econometrics, Elsevier, vol. 166(2), pages 282-302.
  2. Stefan Hoderlein & Joachim Winter, 2009. "Structural Measurement Errors in Nonseparable Models," Boston College Working Papers in Economics 750, Boston College Department of Economics.
  3. Thomas F. Crossley & Joachim K. Winter, 2013. "Asking Households About Expenditures: What Have We Learned?," NBER Working Papers 19543, National Bureau of Economic Research, Inc.
  4. Susanne Schennach, 2012. "Measurement error in nonlinear models- a review," CeMMAP working papers CWP41/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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