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Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information

Yingyao Hu and Geert Ridder

No 05.39, IEPR Working Papers from Institute of Economic Policy Research (IEPR)

Abstract: 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
Date: 2005-10
New Economics Papers: this item is included in nep-ecm
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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) Downloads
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