Title: Binary response models with misclassified dependent variables applied to annuity ownership
Authors: Peter van Santen - Sveriges Riksbank (Sweden) [presenting]
Adriaan Kalwij - Utrecht University (Netherlands)
Rob Alessie - University of Groningen (Netherlands)
Abstract: The problem of misclassification of the dependent variable in a binary choice setting is studied. We apply both static and dynamic models to ownership of annuity policies for a panel of Dutch households, allowing the dependent variable to be misclassified. For a subset of households, we know the duration of the policies, and therefore can construct an ownership variable which should be closer to the true value. We use this measure to benchmark our results. Our estimates of the misclassification probabilities suggest that part of the annuity puzzle can be explained by underreporting ownership of annuities.