Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information

58 Pages Posted: 26 Nov 2005

See all articles by Yingyao Hu

Yingyao Hu

University of Texas at Austin

Geert Ridder

University of Southern California

Date Written: October 2005

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 square root n 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

JEL Classification: C14, C41, I38

Suggested Citation

Hu, Yingyao and Ridder, Geert, Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information (October 2005). IEPR Working Paper No. 05.39, Available at SSRN: https://ssrn.com/abstract=854306 or http://dx.doi.org/10.2139/ssrn.854306

Yingyao Hu

University of Texas at Austin ( email )

2317 Speedway
Austin, TX Texas 78712
United States

Geert Ridder (Contact Author)

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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