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Instrumental variable estimation of nonlinear models with nonclassical measurement error using control variables

Jinyong Hahn and Geert Ridder

Journal of Econometrics, 2017, vol. 200, issue 2, 238-250

Abstract: We consider nonlinear parametric models with an independent variable that is measured with error. The measurement error can be correlated with the true value, i.e., the measurement error is allowed to be nonclassical. We propose a control variable estimator for the parameters of interest. The estimator is consistent even if the latent true value is endogenous. We derive the influence function of the semi-parametric estimator that accounts for the estimation of the control variable in the first stage.

Keywords: Measurement error; Endogenous regressor; Control variables; Semi-parametric estimation; Influence function (search for similar items in EconPapers)
JEL-codes: C14 C26 (search for similar items in EconPapers)
Date: 2017
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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