Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information
Yingyao Hu and
No 05.39, IEPR Working Papers from Institute of Economic Policy Research (IEPR)
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.
Keywords: measurement error model; marginal information; deconvolution; Fourier transform; duration model; welfare spells (search for similar items in EconPapers)
JEL-codes: C14 C41 I38 (search for similar items in EconPapers)
Pages: 57 pages
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Journal Article: Estimation of nonlinear models with mismeasured regressors using marginal information (2012)
Working Paper: Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:scp:wpaper:05-39
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