Estimating nonseparable models with mismeasured endogenous variables

Suyong Song, Susanne Schennach and Halbert White

Quantitative Economics, 2015, vol. 6, issue 3, 749-794

Abstract: We study the identification and estimation of covariate‐conditioned average marginal effects of endogenous regressors in nonseparable structural systems when the regressors are mismeasured. We control for the endogeneity by making use of covariates as control variables; this ensures conditional independence between the endogenous causes of interest and other unobservable drivers of the dependent variable. Moreover, we recover distributions of the underlying true causes from their error‐laden measurements to deliver consistent estimators. We obtain uniform convergence rates and asymptotic normality for estimators of covariate‐conditioned average marginal effects, faster convergence rates for estimators of their weighted averages over instruments, and root‐n consistency and asymptotic normality for estimators of their weighted averages over control variables and regressors. We investigate their finite‐sample behavior using Monte Carlo simulation and apply new methods to study the impact of family income on child achievement measured by math and reading scores, using a matched mother–child subsample of the National Longitudinal Survey of Youth. Our findings suggest that these effects are considerably larger than previously recognized, and depend on parental abilities and family income. This underscores the importance of measurement errors, endogeneity of family income, nonlinearity of income effects, and interactions between causes of child achievement.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://hdl.handle.net/

Related works:
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:wly:quante:v:6:y:2015:i:3:p:749-794

Ordering information: This journal article can be ordered from
https://www.econometricsociety.org/membership

Access Statistics for this article

More articles in Quantitative Economics from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().