Semiparametric nonlinear panel data models with measurement error

Oliver Linton and Ji-Liang Shiu
Additional contact information
Ji-Liang Shiu: Institute for Fiscal Studies

No CWP09/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data. The past observables are used as instruments to control the measurement error problem, and the time averages of perfectly observed variables are used to restrict the unobserved individual-specific effect by a correlated random effects specification. The proposed approach relies on the Fourier transforms of several conditional expectations of observable variables. We then estimate the model via the semi-parametric sieve Generalized Method of Moments estimator. The finite-sample properties of the estimator are investigated through Monte Carlo simulations. We use our method to estimate the effect of the wage rate on labor supply using PSID.

Keywords: Correlated random effects; Measurement error; Nonlinear panel data models; Semi-parametric identification (search for similar items in EconPapers)
Date: 2018-01-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.ifs.org.uk/uploads/CWP091818.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (https://www.ifs.org.uk/uploads/CWP091818.pdf [302 Found]--> https://ifs.org.uk/uploads/CWP091818.pdf)

Related works:
Working Paper: Semiparametric Nonlinear Panel Data Models with Measurement Error (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:cemmap:09/18

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().