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A Hausman test for non-ignorability

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  • Bücker, Michael
  • Krämer, Walter
  • Arnold, Matthias

Abstract

Using an empirical likelihood approach, we show that generalized linear models can still be consistently estimated even if dependent variables are not missing at random, and derive a Hausman test by comparing this estimator to the standard one.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 114 (2012)
Issue (Month): 1 ()
Pages: 23-25

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Handle: RePEc:eee:ecolet:v:114:y:2012:i:1:p:23-25

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Hausman test; Missing data; Empirical likelihood; Reject inference; Credit scoring; Logistic regression;

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References

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  1. Qin J. & Leung D. & Shao J., 2002. "Estimation With Survey Data Under Nonignorable Nonresponse or Informative Sampling," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 193-200, March.
  2. Crook, Jonathan, 1999. "Who is discouraged from applying for credit?," Economics Letters, Elsevier, vol. 65(2), pages 165-172, November.
  3. Hsiao, Cheng, 1980. "Missing data and maximum likelihood estimation," Economics Letters, Elsevier, vol. 6(3), pages 249-253.
  4. Kramer, Walter & Sonnberger, Harald, 1986. "Computational pitfalls of the Hausman test," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 163-165, June.
  5. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Sven Schreiber, 2008. "The Hausman Test Statistic can be Negative even Asymptotically," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 228(4), pages 394-405, August.
  7. Wong, Ka-fu, 1996. "Bootstrapping Hausman's exogeneity test," Economics Letters, Elsevier, vol. 53(2), pages 139-143, November.
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Cited by:
  1. Bücker, Michael & van Kampen, Maarten & Krämer, Walter, 2013. "Reject inference in consumer credit scoring with nonignorable missing data," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1040-1045.

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