Efficiency Bounds for Missing Data Models With Semiparametric Restrictions
AbstractThis paper shows that the semiparametric efficiency bound for a parameter identified by an unconditional moment restriction with data missing at random (MAR) coincides with that of a particular augmented moment condition problem. The augmented system consists of the inverse probability weighted (IPW) original moment restriction and an additional conditional moment restriction which exhausts all other implications of the MAR assumption. The paper also investigates the value of additional semiparametric restrictions on the conditional expectation function (CEF) of the original moment function given always- observed covariates. In the program evaluation context, for example, such restrictions are implied by semiparametric models for the potential outcome CEFs given baseline covariates. The efficiency bound associated with this model is shown to also coincide with that of a particular moment condition problem. Some implications of these results for estimation are briefly discussed.
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Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 79 (2011)
Issue (Month): 2 (03)
Other versions of this item:
- Bryan S. Graham, 2008. "Efficiency bounds for missing data models with semiparametric restrictions," NBER Working Papers 14376, National Bureau of Economic Research, Inc.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
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- Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel, 2011. "Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)," NBER Working Papers 16928, National Bureau of Economic Research, Inc.
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