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Estimation of nonlinear models with mismeasured regressors using marginal information

Hu, Yingyao; Ridder, Geert - 2009

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...

Persistent link: https://www.econbiz.de/10010277540

Robust inference in deconvolution

Kato, Kengo; Sasaki, Yuya; Ura, Takuya - In: Quantitative Economics 12 (2021) 1, pp. 109-142

Kotlarski's identity has been widely used in applied economic research based on repeated-measurement or panel models with latent variables. However, how to conduct inference for these models has been an open question for two decades. This paper addresses this open problem by constructing a novel...

Persistent link: https://www.econbiz.de/10013189766

Ill-posed inverse problems in economics

Horowitz, Joel - 2013

A parameter of an econometric model is identified if there is a one-to-one or many-to-one mapping from the population distribution of the available data to the parameter. Often, this mapping is obtained by inverting a mapping from the parameter to the population distribution. If the inverse...

Persistent link: https://www.econbiz.de/10010318682

A triangular treatment effect model with random coefficients in the selection equation

Gautier, Eric; Hoderlein, Stefan - 2012

In this paper we study nonparametric estimation in a binary treatment model where the outcome equation is of unrestricted form, and the selection equation contains multiple unobservables that enter through a nonparametric random coefficients specification. This specification is flexible because...

Persistent link: https://www.econbiz.de/10010318710

A uniform central limit theorem and efficiency for deconvolution estimators

Söhl, Jakob; Trabs, Mathias - 2012

We estimate linear functionals in the classical deconvolution problem by kernel estimators. We obtain a uniform central … processes and mapping properties of the deconvolution operator. …

Persistent link: https://www.econbiz.de/10010318746

Well-posedness of measurement error models for self-reported data

An, Yonghong; Hu, Yingyao - 2009

It is widely admitted that the inverse problem of estimating the distribution of a latent variable X* from an observed sample of X, a contaminated measurement of X*, is ill-posed. This paper shows that measurement error models for self-reporting data are well-posed, assuming the probability of...

Persistent link: https://www.econbiz.de/10010288413

Density Deconvolution with Replicate Measurements and Auxiliary Data

McIntyre, Julie P. - 2003

We present two deconvolution estimators for the density function of a random variable X that is measured with error … estimator generalizes the deconvolution estimator of Stefanski and Carroll (1990), with the measurement error variances … study and an example.The second is a semi-parametric deconvolution estimator that assumes the availability of a covariate …

Persistent link: https://www.econbiz.de/10009431272

Testing for symmetries in multivariate inverse problems

Birke, Melanie; Bissantz, Nicolai - 2011

Persistent link: https://www.econbiz.de/10009155215

Frontier estimation in the presence of measurement error with unknown variance

Kneip, Alois; Simar, Léopold; Van Keilegom, Ingrid - In: Journal of econometrics 184 (2015) 2, pp. 379-393

Persistent link: https://www.econbiz.de/10011339285

A triangular treatment effect model with random coefficients in the selection equation

Gautier, Eric; Hoderlein, Stefan - 2012 - This version: November 29, 2012

Persistent link: https://www.econbiz.de/10009669591