Estimation of nonlinear models with measurement error using marginal information. Econometric Society North American Summer Meetings 21, Econometric Society. available at http://ideas.repec.org/p/ecm/nasm04/21.html

We consider the problem of consistent estimation of nonlinear models with mis-measured explanatory variables, when marginal information on the true values of these variables is available. The marginal distribution of the true variables is used to identify the distribution of the measurement error, and the distri-bution of the true variables conditional on the mismeasured and the other ex-planatory variables. The estimator is shown to be n consistent and normally distributed. The simulation results are in line with the asymptotic results. The semi-parametric MLE is applied to a duration model for AFDC welfare spells with misreported welfare benefits. The marginal distribution of welfare benefits is obtained from an administrative source