Identification and Estimation of Nonparametric Panel Data Regressions with Measurement Error

Download or read book Identification and Estimation of Nonparametric Panel Data Regressions with Measurement Error written by Daniel Wilhelm and published by . This book was released on 2015 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a constructive argument for identification of nonparametric panel data models with measurement error in a continuous explanatory variable. The approach point identifies all structural elements of the model using only observations of the outcome and the mismeasured explanatory variable; no further external variables such as instruments are required. In the case of two time periods, restricting either the structural or the measurement error to be independent over time allows past explanatory variables or outcomes to serve as instruments. Time periods have to be linked through serial dependence in the latent explanatory variable, but the transition process is left nonparametric. The paper discusses the general identification result in the context of a nonlinear panel data regression model with additively separable fixed effects. It provides a nonparametric plug-in estimator, derives its uniform rate of convergence, and presents simulation evidence for good performance in finite samples.