A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data

51 Pages Posted: 16 Jan 2018

See all articles by Chunrong Ai

Chunrong Ai

University of Florida - Warrington College of Business Administration - Department of Economics

Oliver B. Linton

University of Cambridge

Zheng Zhang

Renmin University of China - Institute of Statistics and Big Data

Date Written: January 10, 2018

Abstract

This paper proposes a simple and efficient estimation procedure for the model with non-ignorable missing data studied by Morikawa and Kim (2016). Their semiparametrically efficient estimator requires explicit nonparametric estimation and so suffers from the curse of dimensionality and requires a bandwidth selection. We propose an estimation method based on the Generalized Method of Moments (hereafter GMM). Our method is consistent and asymptotically normal regardless of the number of moments chosen. Furthermore, if the number of moments increases appropriately our estimator can achieve the semiparametric efficiency bound derived in Morikawa and Kim (2016), but under weaker regularity conditions. Moreover, our proposed estimator and its consistent covariance matrix are easily computed with the widely available GMM package. We propose two data-based methods for selection of the number of moments. A small scale simulation study reveals that the proposed estimation indeed out-performs the existing alternatives in finite samples.

Keywords: Nonignorable nonresponse, Generalized method of moments, Semiparametric efficiency

JEL Classification: C12

Suggested Citation

Ai, Chunrong and Linton, Oliver B. and Zhang, Zheng, A Simple and Efficient Estimation Method for Models with Nonignorable Missing Data (January 10, 2018). Available at SSRN: https://ssrn.com/abstract=3099405 or http://dx.doi.org/10.2139/ssrn.3099405

Chunrong Ai

University of Florida - Warrington College of Business Administration - Department of Economics ( email )

224 Matherly Hall
Gainesville, FL 32611-7140
United States
352-392-7859 (Phone)
352-392-7859 (Fax)

HOME PAGE: http://search.ufl.edu/web?query=Chunrong%20Ai

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Zheng Zhang

Renmin University of China - Institute of Statistics and Big Data ( email )

Beijing
China

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