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Estimation of Nonlinear Models with Measurement Error Using Marginal Information

Geert Ridder () and Yingyao Hu

No 21, Econometric Society 2004 North American Summer Meetings from Econometric Society

Abstract: We consider the problem of consistent estimation of nonlinear models with mismeasured explanatory variables, when marginal information on the true values of these variables is available. The marginal distribution of the true variables is used to identify the distribution of the measurement error, and the distribution of the true variables conditional on the mismeasured and the other explanatory variables. The estimator is shown to be root-n consistent and normally distributed. The simulation results are in line with the asymptotic results. The semi-parametric MLE is applied to a duration model for AFDC welfare spells with misreported welfare benefits. The marginal distribution of welfare benefits is obtained from an administrative source

Keywords: measurement error model; marginal information; deconvolution (search for similar items in EconPapers)
JEL-codes: C14 C41 I38 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2004-08-11
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