Identification and inference on regressions with missing covariate data

Esteban M. Aucejo, Federico A. Bugni, V. Joseph Hotz

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

This paper examines the problem of identification and inference on a conditional moment condition model with missing data, with special focus on the case when the conditioning covariates are missing. We impose no assumption on the distribution of the missing data and we confront the missing data problem by using a worst case scenario approach. We characterize the sharp identified set and argue that this set is usually too complex to compute or to use for inference. Given this difficulty, we consider the construction of outer identified sets (i.e. supersets of the identified set) that are easier to compute and can still characterize the parameter of interest. Two different outer identification strategies are proposed. Both of these strategies are shown to have nontrivial identifying power and are relatively easy to use and combine for inferential purposes.

Original languageEnglish (US)
Pages (from-to)196-241
Number of pages46
JournalEconometric Theory
Volume33
Issue number1
DOIs
StatePublished - Feb 1 2017
Externally publishedYes

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics

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