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Title:Estimation of nonlinear models with mismeasured regressors using marginal information PDF Logo
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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