centre for microdata methods and practice

ESRC centre

cemmap is an ESRC research centre


Keep in touch

Subscribe to cemmap news

Semiparametric nonlinear panel data models with measurement error

Authors: Oliver Linton and Ji-Liang Shiu
Date: 10 January 2018
Type: cemmap Working Paper, CWP09/18
DOI: 10.1920/wp.cem.2018.0918


This paper develops the identification and estimation of nonlinear semi-parametric panel data models with mismeasured variables and their corresponding average partial effects using only three periods of data. The past observables are used as instruments to control the measurement error problem, and the time averages of perfectly observed variables are used to restrict the unobserved individual-specific effect by a correlated random effects specification. The proposed approach relies on the Fourier transforms of several conditional expectations of observable variables. We then estimate the model via the semi-parametric sieve Generalized Method of Moments estimator. The finite-sample properties of the estimator are investigated through Monte Carlo simulations. We use our method to estimate the effect of the wage rate on labor supply using PSID.

Download full version

Search cemmap

Search by title, topic or name.

Contact cemmap

Centre for Microdata Methods and Practice

How to find us

Tel: +44 (0)20 7291 4800

E-mail us