Estimation of Nonlinear Models with Mismeasured Regressors Using Marginal Information
نویسندگان
چکیده
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 √ 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. JEL classification: C14, C41, I38.
منابع مشابه
Comparing Features of Convenient Estimators for Binary Choice Models With Endogenous Regressors
We discuss the relative advantages and disadvantages of four types of convenient estimators of binary choice models when regressors may be endogenous or mismeasured, or when errors are likely to be heteroskedastic. For example, such models arise when treatment is not randomly assigned and outcomes are binary. The estimators we compare are the two stage least squares linear probability model, ma...
متن کاملSimple Estimators For Hard Problems: Endogeneity and Dependence in Binary Choice Related Models and Endogenous Selection or Treatment Model Estimation
This paper describes numerically simple estimators that can be used to estimate binary choice and other related models (such as selection and ordered choice models) when some regressors are endogenous or mismeasured. Simple estimators are provided that allow for discrete or otherwise limited endogenous regressors, lagged dependent variables and other dynamic effects, heteroskedastic and autocor...
متن کاملInflation and Inflation Uncertainty in Iran: An Application of GARCH-in-Mean Model with FIML Method of Estimation
This paper investigates the relationship between inflation and inflation uncertainty for the period of 1990-2009 by using monthly data in the Iranian economy. The results of a two-step procedure such as Granger causality test which uses generated variables from the first stage as regressors in the second stage, suggests a positive relation between the mean and the variance of inflation. However...
متن کاملFixed Effects Estimation of Structural Parameters and Marginal Effects in Panel Probit Models
Fixed effects estimators of nonlinear panel models can be severely biased due to the incidental parameters problem. In this paper I find that the most important component of this incidental parameters bias for probit fixed effects estimators of index coefficients is proportional to the true value of these coefficients, using a large-T expansion of the bias. This result allows me to derive a low...
متن کاملSimple Estimators For Hard Problems: Endogeneity in Discrete Choice Related Models
This paper describes numerically simple estimators that can be used to estimate binary choice and other related models (such as selection and ordered choice models) when some regressors are endogenous or mismeasured. Simple estimators are provided that allow for discrete or otherwise limited endogenous regressors, lagged dependent variables and other dynamic effects, heteroskedastic and autocor...
متن کامل