An MPEC estimator for misclassification models |
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| Authors: | Ruichang Lu Yao Luo Ruli Xiao |
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| Affiliation: | 1. Department of Finance, Guanghua School of Management, Peking University, 5 Yiheyuan Rd., Beijing 100871, China;2. Department of Economics, University of Toronto, 150 St. George Street, M5S3G7, Canada;3. Department of Economics, Johns Hopkins University, 3400 N. Charles St, Baltimore, MD 21218, United States |
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| 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. |
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| Keywords: | C6 C14 |
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