Nonparametric identification and semiparametric estimation of classical measurement error models without side information
Virtually all methods aimed at correcting for covariate measurement error in regressions rely on some form of additional information (e.g. validation data, known error distributions, repeated measurements or instruments). In contrast, we establish that the fully nonparametric classical errors-in-variables mode is identifiable from data on the regressor and the dependent variable alone, unless the model takes a very specific parametric form. The parametric family includes (but is not limited to) the linear specification with normally distributed variables as a well-known special cast. This result relies on standard primitive regularity conditions taking the form of smoothness constraints and nonvanishing characteristic functions assumptions. Our approach can handle both monotone and nonmonotone specifications, provided the latter oscillate a finite number of times. Given that the very specific unidentified parametric functional form is arguably the exception rather than the rule, this identification result should have a wide applicability. It leads to a new perspective on handling measurement error in nonlinear and nonparametric models, opening the way to a novel and practical approach to correct for measurement error in data sets where it was previously considered impossible (due to the lack of additional information regarding the measurement error). We suggest an estimator based on non/semi-parametric maximum likelihood, derive its asymptotic properties and illustrate the effectiveness of the method with a simulation study and an application to the relationship between firm investment behaviour and market value, the latter being notoriously mismeasured.
|Date of creation:||Dec 2012|
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- Yingyao Hu & Susanne M. Schennach, 2008. "Instrumental Variable Treatment of Nonclassical Measurement Error Models," Econometrica, Econometric Society, vol. 76(1), pages 195-216, 01.
- Susanne M. Schennach, 2004. "Estimation of Nonlinear Models with Measurement Error," Econometrica, Econometric Society, vol. 72(1), pages 33-75, 01.
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