Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,27
We consider the partially linear model relating a response Y to predictors (X,T) with mean function XT ß + g (T) when the X's are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis (1994) leads to biased estimates of both the parameter ß and the function g(·) when measurement error is ignored. We derive a simple modification of their estimator which is a semiparametric version of the usual parametric correction for attenuation. The resulting estimator of ß is shown to be consistent and its asymptotic distribution theory is derived. Consistent standard error estimates using sandwich-type ideas are also developed.
Measurement Error Errors-in-Variables Functional Relations Non-parametric Likelihood Orthogonal Regression Partially Linear Model Semiparametric Models Structural Relations