AN INSTRUMENTAL VARIABLE APPROACH FOR IDENTIFICATION AND ESTIMATION WITH NONIGNORABLE NONRESPONSE

作者：Wang, Sheng^*; Shao, Jun; Kim, Jae Kwang

来源：Statistica Sinica, 2014, 24(3): 1097-1116.

DOI：10.5705/ss.2012.074

• Consistency and asymptotic normality
• generalized method of moments
• missing not at random
• nonparametric distribution
• nonresponse instrument
• parametric propensity

Estimation based on data with nonignorable nonresponse is considered when the joint distribution of the study variable y and covariate x is nonparametric and the nonresponse probability conditional on y and x has a parametric form. The likelihood based on observed data may not be identifiable even when the joint distribution of y and x is parametric. We show that this difficulty can be overcome by utilizing a nonresponse instrument, an auxiliary variable related to y but not related to the nonresponse probability conditional on y and x. Under some conditions we can apply the generalized method of moments (GMM) to obtain estimators of the parameters in the nonresponse probability and the nonparametric joint distribution of y and x. Consistency and asymptotic normality of GMM estimators are established. Simulation results and an application to a data set from the Korean Labor and Income Panel Survey are also presented.

• 出版日期2014-7
• 单位华东师范大学