English, Article, Journal or magazine article edition: Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information Yingyao Hu and Geert Ridder

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Bookmark: http://trove.nla.gov.au/version/26566
Physical Description
  • preprint
Language
  • English

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Title
  • Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information
Author
  • Yingyao Hu and Geert Ridder
Physical Description
  • preprint
Notes
  • 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 $\sqrt{n}$ 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.
  • RePEc:jhu:papers:554
Language
  • English
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