Friday, July 22, 2011

Duration models with measurement error

The issue of how to think about duration models when there is measurement error in the dependent variable came up in a discussion the other day. If anyone out there in reader-land has a pointer to a paper or two on this, please post a comment or send an email.
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3 comments:

  1. Dave GilesJuly 22, 2011 at 7:07 PM

    Hi - have you checked Daniel Gutknecht's recent working paper?

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  2. JohnJuly 23, 2011 at 1:06 AM

    There's a paper by Abrevaya and Hausman (http://econ-www.mit.edu/files/1041) where measurement error in the duration is treated as unobserved heterogeneity and they propose a consistent semiparametric estimator.

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  3. econjeffJuly 23, 2011 at 9:40 AM

    Thanks for the helpful suggestions!

    ReplyDelete