This paper considers identification and inference of a general latent nonlinear model using two samples, where a covariate contains arbitrary measurement errors in both samples, and neither sample contains an accurate measurement of the corresponding true variable. The primary sample consists of...

Despite their effectiveness, linear models for realized variance neglect measurement errors on integrated variance and exhibit several forms of misspecification due to the inherent nonlinear dynamics of volatility. We propose new extensions of the popular approximate long-memory HAR model apt to...

This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data. The past observables are used as instruments to control the measurement error problem,...