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http://hdl.handle.net/10419/49896
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| Title: | | Estimation of nonlinear models with mismeasured regressors using marginal information  |
| Authors: | | Hu, Yingyao Ridder, Geert |
| Issue Date: | | 2009 |
| Series/Report no.: | | Working papers // the Johns Hopkins University, Department of Economics 554 |
| 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 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. |
| Subjects: | | Measurement error model marginal information deconvolution Fourier transform duration model welfare spells |
| JEL: | | C14 C41 I38 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Department of Economics, The Johns Hopkins University
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