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An MPEC estimator for misclassification models

Author

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  • Lu, Ruichang
  • Luo, Yao
  • Xiao, Ruli

Abstract

In this paper, we propose a constrained maximum likelihood estimator for misclassification models, by formulating the estimation as an MPEC (Mathematical Programming with Equilibrium Constraints) problem. Our approach improves the numerical accuracy and avoids the singularity problem. Monte Carlo simulations confirm that the proposed estimator reduces bias and standard deviation of the estimator, especially when the sample is small/medium and/or the dimension of latent variable is large.

Suggested Citation

  • Lu, Ruichang & Luo, Yao & Xiao, Ruli, 2014. "An MPEC estimator for misclassification models," Economics Letters, Elsevier, vol. 125(2), pages 195-199.
    • Handle: RePEc:eee:ecolet:v:125:y:2014:i:2:p:195-199
    DOI: 10.1016/j.econlet.2014.08.031
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    References listed on IDEAS

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    1. Shuaizhang Feng & Yingyao Hu, 2013. "Misclassification Errors and the Underestimation of the US Unemployment Rate," American Economic Review, American Economic Association, vol. 103(2), pages 1054-1070, April.
    2. Che‐Lin Su & Kenneth L. Judd, 2012. "Constrained Optimization Approaches to Estimation of Structural Models," Econometrica, Econometric Society, vol. 80(5), pages 2213-2230, September.
    3. A. Kerem Cosar & Paul L. E. Grieco & Felix Tintelnot, 2015. "Borders, Geography, and Oligopoly: Evidence from the Wind Turbine Industry," The Review of Economics and Statistics, MIT Press, vol. 97(3), pages 623-637, July.
    4. Hu, Yingyao, 2008. "Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution," Journal of Econometrics, Elsevier, vol. 144(1), pages 27-61, May.
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    Cited by:

    1. Ekaterina Oparina & Sorawoot Srisuma, 2022. "Analyzing Subjective Well-Being Data with Misclassification," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 730-743, April.

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    More about this item

    Keywords

    Mathematical Programming with Equilibrium Constraints (MPEC); Misclassification models; Nonparametric estimation;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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