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2015-03-30Buch DOI: 10.18452/4573
Testing Missing at Random using Instrumental Variables
dc.contributor.authorBreunig, Christoph
dc.date.accessioned2017-06-16T01:13:22Z
dc.date.available2017-06-16T01:13:22Z
dc.date.created2015-06-18
dc.date.issued2015-03-30
dc.date.submitted2015-03-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5225
dc.description.abstractThis paper proposes a test for missing at random (MAR). TheMARassumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic’s asymptotic distribution under the MAR hypothesis is derived. We demonstrate that our results can be easily extended to a test of missing completely at random (MCAR) and missing completely at random conditional on covariates X (MCAR(X)). A Monte Carlo study examines finite sample performance of our test statistic. An empirical illustration concerns pocket prescription drug spending with missing values; we reject MCAR but fail to reject MAR.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectIncomplete dataeng
dc.subjectmissing-data mechanismeng
dc.subjectselection modeleng
dc.subjectnonparametric hypothesis testingeng
dc.subjectconsistent testingeng
dc.subjectinstrumental variableeng
dc.subjectseries estimationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleTesting Missing at Random using Instrumental Variables
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100230851
dc.identifier.doihttp://dx.doi.org/10.18452/4573
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages24
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue16
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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