Instrumental Variable Estimation of Nonlinear Models with Nonclassical Measurement Error Using Control Variable

26 Pages Posted: 23 Mar 2016

See all articles by Jinyong Hahn

Jinyong Hahn

University of California, Los Angeles

Geert Ridder

University of Southern California

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

Hahn, Jinyong and Ridder, Geert, Instrumental Variable Estimation of Nonlinear Models with Nonclassical Measurement Error Using Control Variable (February 1, 2016). USC-INET Research Paper No. 16-09, Available at SSRN: https://ssrn.com/abstract=2753285 or http://dx.doi.org/10.2139/ssrn.2753285

Jinyong Hahn (Contact Author)

University of California, Los Angeles ( email )

405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095-1361
United States

Geert Ridder

University of Southern California ( email )

Kaprielian Hall
Los Angeles, CA 90089
United States
213-740-2110 (Phone)
213-740-8543 (Fax)

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