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Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information

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Author Info
Yingyao Hu
Geert Ridder

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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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File Function: First version, 2005
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Publisher 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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Related research
Keywords: measurement error model marginal information deconvolution Fourier transform duration model welfare spells

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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  24. Horowitz, Joel L & Markatou, Marianthi, 1996. "Semiparametric Estimation of Regression Models for Panel Data," Review of Economic Studies, Blackwell Publishing, vol. 63(1), pages 145-68, January. [Downloadable!] (restricted)
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    Other versions:
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