The impact of duration response measurement error is investigated
by using small variance approximations. The inconsistency of GMM
estimators that ignore measurement error is studied for both single spell models
with right censoring, and for a two spell lagged duration dependence model.
The results suggest a corrected GMM estimator for the error free and measurement
error distributions. When the error free density is known, identification is
achieved by using the moment condition that defines the measurement error sensitive
specification score test. The results are applied to unemployment duration
data from the BHPS.
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