Estimation of nonlinear models with mismeasured regressors using marginal information

✍ Scribed by Yingyao Hu; Geert Ridder

• Book ID: 102288977
• Publisher: John Wiley and Sons
• Year: 2010
• Tongue: English
• Weight: 379 KB
• Volume: 27
• Category: Article
• ISSN: 0883-7252
• DOI: 10.1002/jae.1202

✦ Synopsis

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 shown to be $\sqrt{n}$ 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. Copyright © 2010 John Wiley & Sons, Ltd.