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Measurement Error Bias Reduction in Unemployment Durations

  • Montezuma Dumangane
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    The impact of duration response measurement error is investigated by using small variance approximations. The inconsistency of GMM estimators that ignore measurement error is studied for both single spell models with right censoring, and for a two spell lagged duration dependence model. The results suggest a corrected GMM estimator for the error free and measurement error distributions. When the error free density is known, identification is achieved by using the moment condition that defines the measurement error sensitive specification score test. The results are applied to unemployment duration data from the BHPS.

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    File URL: http://cemmap.ifs.org.uk/wps/cwp0603.pdf
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    Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP03/06.

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    Date of creation: Feb 2006
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    Handle: RePEc:ifs:cemmap:03/06
    Contact details of provider: Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
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    1. Jason ABREVAYA & Jerry A. HAUSMAN, 1999. "Semiparametric Estimation with Mismeasured Dependent Variables: An Application to Duration Models for Unemployment Spells," Annales d'Economie et de Statistique, ENSAE, issue 55-56, pages 243-275.
    2. Atkinson, A. B. & Gomulka, J. & Micklewright, J. & Rau, N., 1984. "Unemployment benefit, duration and incentives in Britain : How robust is the evidence?," Journal of Public Economics, Elsevier, vol. 23(1-2), pages 3-26.
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