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Estimation of nonlinear models with mismeasured regressors using marginal information

Yingyao Hu; Geert Ridder
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. -- Measurement error model ; marginal information ; deconvolution ; Fourier transform ; duration model ; welfare spells
Year of publication:
2009
Authors: Hu, Yingyao ; Ridder, Geert
Publisher: Baltimore, Md. : Johns Hopkins Univ., Dep. of Economics
Subject: Schätztheorie | Estimation theory | Statistischer Fehler | Statistical error | Nichtlineare Regression | Nonlinear regression | Regressionsanalyse | Regression analysis
Extent:
Online-Ressource, (50 S.)
graph. Darst.
Series:
Working papers / Department of Economics, The Johns Hopkins University. - Baltimore, Md. : [Verlag nicht ermittelbar], ZDB-ID 2189307-X. - Vol. 554
Type of publication: Book / Working Paper
Type of publication (narrower categories): Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language: English
Notes:
Systemvoraussetzungen: Acrobat reader
Other identifiers:
hdl:10419/49896 [Handle]
Classification: C14 - Semiparametric and Nonparametric Methods ; C41 - Duration Analysis ; I38 - Government Policy; Provision and Effects of Welfare Programs
Source:
ECONIS - Online Catalogue of the ZBW
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003860830
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