Identification of Nonparametric Monotonic Regression Models with Continuous Nonclassical Measurement Errors

主讲人: Ji-Liang Shiu

Please see Prof. Shiu's CV for more information.


主持人: Wei Song

This paper provides sufficient conditions for identification of a nonparametric regression model with an unobserved continuous regressor subject to nonclassical measurement error. The measurement error may be directly correlated with the latent regressor in the model. Our identification strategy does not require the availability of additional data information, such as a secondary measurement, an instrumental variable, or an auxiliary sample. Our main assumptions for nonparametric identification include monotonicity of the regression function, independence of the regression error, and completeness of the measurement error distribution. We also propose a sieve maximum likelihood estimator and investigate its finite sample property through Monte Carlo simulations.

时间: 2018-04-20(Friday)16:40-18:00
地点: D235, Econ Building
期数: 厦门大学高级计量经济学与统计学系列讲座2018春季学期第一讲(总第102讲)
主办单位: WISE&SOE
类型: 系列讲座

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