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Duration response measurement error

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  • Chesher, Andrew
  • Dumangane, Montezuma
  • Smith, Richard J.

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  • Chesher, Andrew & Dumangane, Montezuma & Smith, Richard J., 2002. "Duration response measurement error," Journal of Econometrics, Elsevier, vol. 111(2), pages 169-194, December.
  • Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:169-194
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    References listed on IDEAS

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    1. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
    2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    3. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, pages 1065-1083.
    4. Davidson, Russell & MacKinnon, James G., 1984. "Convenient specification tests for logit and probit models," Journal of Econometrics, Elsevier, pages 241-262.
    5. Davidson, Russel & MacKinnon, James G., 1983. "Small sample properties of alternative forms of the Lagrange Multiplier test," Economics Letters, Elsevier, vol. 12(3-4), pages 269-275.
    6. Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-157, January.
    7. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-872, July.
    8. Andrew Chesher & Richard J. Smith, 1997. "Likelihood Ratio Specification Tests," Econometrica, Econometric Society, vol. 65(3), pages 627-646, May.
    9. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    10. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
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    Citations

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    Cited by:

    1. Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, January.
    2. D. O'Neill & Sweetman. O. & Van de gaer D., 2005. "The Consequences of Non-Classical Measurement Error for Distributional Analysis," Economics, Finance and Accounting Department Working Paper Series n1490205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
    3. Andrew Chesher, 2017. "Understanding the effect of measurement error on quantile regressions," CeMMAP working papers CWP19/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    4. CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," CORE Discussion Papers 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Andrew Chesher, 2000. "Polynomial Regression with Normal Covariate Measurement Error," Econometric Society World Congress 2000 Contributed Papers 1911, Econometric Society.
    6. repec:eee:econom:v:200:y:2017:i:2:p:223-237 is not listed on IDEAS
    7. Battistin, Erich & Chesher, Andrew, 2014. "Treatment effect estimation with covariate measurement error," Journal of Econometrics, Elsevier, vol. 178(2), pages 707-715.

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