Luke TAYLOR

PhD Candidate, Department of Economics, LSE

Contact information

Email: l.n.taylor@lse.ac.uk
Phone number: +44 (0)77 0616 2822
Room number: 32L.4.06
Address: Department of Economics || London School of Economics and Political Science || Houghton Street || London WC2A 2AE

 

Research interests

Primary Fields: Econometrics

 

Job Market Paper

Nonparametric Significance Testing in Measurement Error Models

Abstract

This paper develops a nonparametric significance test for regression models with measurement error in the regressors. To the best of our knowledge, this is the first test of its kind. We use a `semi-smoothing' approach with nonparametric deconvolution estimators and show that our test is able to overcome the slow rates of convergence associated with such estimators. In particular, our test is able to detect local alternatives at the root-n rate. We derive the asymptotic distribution under i.i.d. and weakly dependent data, and provide bootstrap procedures for both data types. We also highlight the finite sample performance of the test through a Monte Carlo study.
Finally, we discuss two empirical applications. The first considers the effect of cognitive ability on a range of socio-economic variables: income, life satisfaction, health and risk aversion. The second uses time series data - and a novel approach to estimate the measurement error without repeated measurements - to investigate whether future inflation expectations are able to stimulate current consumption. This is an important policy question when nominal interest rates approach the zero lower bound.

 

Publications and Additional Papers

"Adaptive Estimation in Multiple Time Series with Independent Components” (with P. M. Robinson) – Forthcoming in Journal of Time Series Analysis.

“Estimation of Nonseparable Models with Censored Dependent Variables and Endogenous Regressors” (with T. Otsu) – Forthcoming in Econometric Reviews.

“Specification Testing for Errors-in-Variables Models” (with T. Otsu) – Submitted.

“Estimating Fair Wages in the College Football Labour Market” (with M. Cartledge) – Work in Progress.

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photograph of Luke Taylor