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Nonparametric identification of regression models containing a misclassified dichotomous regressor without instruments

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Author Info
Xiaohong Chen (Institute for Fiscal Studies and Yale)
Yingyao Hu
Arthur Lewbel (Institute for Fiscal Studies and Boston College)

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Abstract

This note considers nonparametric identification of a general nonlinear regression model with a dichotomous regressor subject to misclassification error. The available sample information consists of a dependent variable and a set of regressors, one of which is binary and error-ridden with misclassification error that has unknown distribution. Our identification strategy does not parameterize any regression or distribution functions, and does not require additional sample information such as instrumental variables, repeated measurements, or an auxiliary sample. Our main identifying assumption is that the regression model error has zero conditional third moment. The results include a closed-form solution for the unknown distributions and the regression function.

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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP17/07.

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Date of creation: Aug 2007
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Handle: RePEc:ifs:cemmap:17/07

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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. 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. [Downloadable!] (restricted)
  2. Hong, Han & Tamer, Elie, 2003. "A simple estimator for nonlinear error in variable models," Journal of Econometrics, Elsevier, vol. 117(1), pages 1-19, November. [Downloadable!] (restricted)
  3. 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. [Downloadable!]
  4. Xiaohong Chen & Han Hong & Elie Tamer, 2005. "Measurement Error Models with Auxiliary Data," Review of Economic Studies, Blackwell Publishing, vol. 72(2), pages 343-366, 04. [Downloadable!] (restricted)
  5. 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!]
  6. Arthur Lewbel, 1997. "Constructing Instruments for Regressions with Measurement Error when no Additional Data are Available, with an Application to Patents and R&D," Econometrica, Econometric Society, vol. 65(5), pages 1201-1214, September.
  7. Arthur Lewbel, 2007. "Estimation of Average Treatment Effects with Misclassification," Econometrica, Econometric Society, vol. 75(2), pages 537-551, 03. [Downloadable!] (restricted)
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  8. Thomas J. Kane & Cecilia Rouse & Douglas Staiger, 1999. "Estimating Returns to Schooling When Schooling is Misreported," Working Papers 798, Princeton University, Department of Economics, Industrial Relations Section.. [Downloadable!]
  9. Thomas J. Kane & Cecilia Elena Rouse & Douglas Staiger, 1999. "Estimating Returns to Schooling When Schooling is Misreported," NBER Working Papers 7235, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. Hausman, Jerry A. & Newey, Whitney K. & Ichimura, Hidehiko & Powell, James L., 1991. "Identification and estimation of polynomial errors-in-variables models," Journal of Econometrics, Elsevier, vol. 50(3), pages 273-295, December. [Downloadable!] (restricted)
  11. Hsiao, Cheng, 1991. "Identification and Estimation of Dichotomous Latent Variables Models Using Panel Data," Review of Economic Studies, Blackwell Publishing, vol. 58(4), pages 717-31, July. [Downloadable!] (restricted)
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  12. Lewbel, Arthur, 2007. "A local generalized method of moments estimator," Economics Letters, Elsevier, vol. 94(1), pages 124-128, January. [Downloadable!] (restricted)
  13. Aprajit Mahajan, 2006. "Identification and Estimation of Regression Models with Misclassification," Econometrica, Econometric Society, vol. 74(3), pages 631-665, 05. [Downloadable!] (restricted)
  14. Chunrong Ai & Xiaohong Chen, 2003. "Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions," Econometrica, Econometric Society, vol. 71(6), pages 1795-1843, November. [Downloadable!] (restricted)
  15. Geert Ridder & Yingyao Hu, 2004. "Estimation of Nonlinear Models with Measurement Error Using Marginal Information," Econometric Society 2004 North American Summer Meetings 21, Econometric Society. [Downloadable!]
  16. Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01. [Downloadable!] (restricted)
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(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. Yingyao Hu & Arthur Lewbel, 2007. "Returns to Lying? Identifying the Effects of Misreporting When the Truth is Unobserved," Boston College Working Papers in Economics 678, Boston College Department of Economics, revised 16 Jun 2009. [Downloadable!]
  2. Yingyao Hu & Arthur Lewbel, 2007. "Identifying the Returns to Lying When the Truth is Unobserved," Economics Working Paper Archive 540, The Johns Hopkins University,Department of Economics. [Downloadable!]
    Other versions:
  3. Yingying Dong & Arthur Lewbel, 2009. "Nonparametric Identification of a Binary Random Factor in Cross Section Data," Boston College Working Papers in Economics 707, Boston College Department of Economics. [Downloadable!]
    Other versions:
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