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Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information

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  • Yingyao Hu
  • Geert Ridder

Abstract

We consider the estimation of nonlinear models with mismeasured explanatory variables, when information on the marginal distribution of the true values of these variables is available. We derive a semi-parametric MLE that is is shown to be pn consistent and asymptotically normally distributed. In a simulation experiment we find that the finite sample distribution of the estimator is close to the asymptotic approximation. The semi-parametric MLE is applied to a duration model for AFDC welfare spells with misreported welfare benefits. The marginal distribution of the correctly measured welfare benefits is obtained from an administrative source.

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File URL: http://www.usc.edu/dept/LAS/economics/IEPR/Working%20Papers/IEPR_05.39_%5BHu,Ridder%5D.pdf
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Bibliographic Info

Paper provided by Institute of Economic Policy Research (IEPR) in its series IEPR Working Papers with number 05.39.

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Length: 57 pages
Date of creation: Oct 2005
Date of revision:
Handle: RePEc:scp:wpaper:05-39

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Keywords: measurement error model; marginal information; deconvolution; Fourier transform; duration model; welfare spells;

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Cited by:
  1. Nikolas Mittag, 2013. "A Method Of Correcting For Misreporting Applied To The Food Stamp Program," Working Papers 13-28, Center for Economic Studies, U.S. Census Bureau.
  2. Susanne Schennach, 2013. "Convolution without independence," CeMMAP working papers CWP46/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

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