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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.

Suggested Citation

  • Yingyao Hu & Geert Ridder, 2005. "Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information," IEPR Working Papers 05.39, Institute of Economic Policy Research (IEPR).
    • Handle: RePEc:scp:wpaper:05-39
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    2. Song, Suyong, 2015. "Semiparametric estimation of models with conditional moment restrictions in the presence of nonclassical measurement errors," Journal of Econometrics, Elsevier, vol. 185(1), pages 95-109.
    3. Dong, Hao & Taylor, Luke, 2022. "Nonparametric Significance Testing In Measurement Error Models," Econometric Theory, Cambridge University Press, vol. 38(3), pages 454-496, June.
    4. Schennach, Susanne M., 2019. "Convolution without independence," Journal of Econometrics, Elsevier, vol. 211(1), pages 308-318.
    5. Eric Blankmeyer, 2018. "Measurement Errors as Bad Leverage Points," Papers 1807.02814, arXiv.org, revised Mar 2020.
    6. 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.

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    More about this item

    Keywords

    measurement error model; marginal information; deconvolution; Fourier transform; duration model; welfare spells;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • I38 - Health, Education, and Welfare - - Welfare, Well-Being, and Poverty - - - Government Programs; Provision and Effects of Welfare Programs

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