Instrumental Variable Estimation of Nonlinear Models with Nonclassical Measurement Error Using Control Variable
26 Pages Posted: 23 Mar 2016
Date Written: February 1, 2016
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: Mesurement Error, Endogenous Regressor, Control Variables, Semi-parametric Estimation, Influence Function
JEL Classification: C14, C26
Suggested Citation: Suggested Citation