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Estimation of Nonlinear Models with Measurement Error Using Marginal Information

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Author Info
Geert Ridder
Yingyao Hu

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Abstract

We consider the problem of consistent estimation of nonlinear models with mismeasured explanatory variables, when marginal information on the true values of these variables is available. The marginal distribution of the true variables is used to identify the distribution of the measurement error, and the distribution of the true variables conditional on the mismeasured and the other explanatory variables. The estimator is shown to be root-n consistent and normally distributed. The simulation results are in line with the asymptotic results. The semi-parametric MLE is applied to a duration model for AFDC welfare spells with misreported welfare benefits. The marginal distribution of welfare benefits is obtained from an administrative source

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Paper provided by Econometric Society in its series Econometric Society 2004 North American Summer Meetings with number 21.

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Date of creation: 11 Aug 2004
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Handle: RePEc:ecm:nasm04:21

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Related research
Keywords: measurement error model marginal information deconvolution

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis
I38 - Health, Education, and Welfare - - Welfare and Poverty - - - Government Programs; Provision and Effects of Welfare Programs

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References listed on IDEAS
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Cited by:
(explanations, 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.)

  1. Xiaohong Chen & Yingyao Hu, 2006. "Identification and Inference of Nonlinear Models Using Two Samples with Arbitrary Measurement Errors," Cowles Foundation Discussion Papers 1590, Cowles Foundation, Yale University. [Downloadable!]
  2. Yingyao Hu & Geert Ridder, 2005. "On Deconvolution as a First Stage Nonparametric Estimator," IEPR Working Papers 05.29, Institute of Economic Policy Research (IEPR). [Downloadable!]
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