Method of Moments Estimation and Identifiability of Semiparametric Nonlinear Errors-In-Variables Models
Liqun Wang, Cheng Hsiao
Journal of Econometrics
#002136 20131014 (published)
This paper deals with a nonlinear errors-in-variables model where the distributions of the unobserved predictor variables and of the measurement errors are nonparametric. Using the instrumental variable approach, we propose method of moments estimators for the unknown parameters and simulation-based estimators to overcome the possible computational difficulty of minimizing an objective function which involves multiple integrals. Both estimators are consistent and asymptotically normally distributed under fairly general regularity conditions. Moreover, root-n consistent semiparametric estimators and a rank condition for model identifiability are derived using the combined methods of the nonparametric technique and Fourier deconvolution.
JEL-Codes: C13, C14, C15
Keywords: Fourier deconvolution; Identifiability; Instrumental variables; Measurement error; Method of moments; Root-n consistency; Semiparametric estimator; Simulation-based estimator

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