Estimation of Nonlinear Models with Mismeasured Regressors using Marginal Information
University of Texas at Austin
University of Southern California
IEPR Working Paper No. 05.39
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 is shown to be square root 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.
Number of Pages in PDF File: 58
Keywords: measurement error model, marginal information, deconvolution, Fourier transform, duration model, welfare spells
JEL Classification: C14, C41, I38working papers series
Date posted: November 26, 2005
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo7 in 0.266 seconds