Estimation of nonlinear models with mismeasured regressors using marginal information

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 554

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Duration Analysis; Optimal Timing Strategies ; Welfare, Well-Being, and Poverty: Government Programs; Provision and Effects of Welfare Programs
• Subject: Measurement error model ; marginal information ; deconvolution ; Fourier transform ; duration model ; welfare spells

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hu, Yingyao ; Ridder, Geert
• Event: Veröffentlichung
• (who): The Johns Hopkins University, Department of Economics
• (where): Baltimore, MD
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/49896
• Last update: 10.03.2025, 11:42 AM CET