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Identification and estimation of nonparametric panel data regressions with measurement error

Wilhelm, D; (2015) Identification and estimation of nonparametric panel data regressions with measurement error. (cemmap Working Paper CWP34/15). Centre for microdata methods and practice: London, UK.

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Abstract

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.

Type: Working / discussion paper
Title: Identification and estimation of nonparametric panel data regressions with measurement error
DOI: 10.1920/wp.cem.2015.3415
Publisher version: http://doi.org/10.1920/wp.cem.2015.3415
Language: English
Additional information: This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions.
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL SLASH
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS
UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics
URI: https://discovery.ucl.ac.uk/id/eprint/10066286
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