An Efficient Estimator for Dealing with Missing Data on Explanatory Variables in a Probit Choice Model
AbstractA common approach to dealing with missing data in econometrics is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. In this paper we consider a particular pattern of missing data on explanatory variables that often occurs in practice and develop a new efficient estimator for models where the dependent variable is binary. We derive exact formulae for the estimator and its asymptotic variance. Simulation results show that our estimator performs well when compared to popular alternatives, such as complete case analysis and multiple imputation. We then use our estimator to examine the portfolio allocation decision of Italian households using the Survey of Household Income and Wealth carried out by the Bank of Italy
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n1960908.pdf.
Length: 36 pages
Date of creation: 2008
Date of revision:
Missing Data; Probit Model; Portfolio Allocation; Risk Aversion;
Find related papers by JEL classification:
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jappelli, Tullio & Pistaferri, Luigi, 2005.
"Intertemporal choice and consumption mobility,"
CFS Working Paper Series
2005/28, Center for Financial Studies (CFS).
- Tullio Jappelli & Luigi Pistaferri, 1999. "Intertemporal Choice and Consumption Mobility," CSEF Working Papers 23, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Tullio Jappelli & Luigi Pistaferri, 2004. "Intertemporal choice and consumption mobility," 2004 Meeting Papers 195, Society for Economic Dynamics.
- Tullio Jappelli & Luigi Pistaferri, 2000. "Intertemporal Choice and Consumption Mobility," Econometric Society World Congress 2000 Contributed Papers 0118, Econometric Society.
- Pistaferri, Luigi, 2002.
"Anticipated and Unanticipated Wage Changes, Wage Risk, and Intertemporal Labour Supply,"
CEPR Discussion Papers
3628, C.E.P.R. Discussion Papers.
- Luigi Pistaferri, 2003. "Anticipated and Unanticipated Wage Changes, Wage Risk, and Intertemporal Labor Supply," Journal of Labor Economics, University of Chicago Press, vol. 21(3), pages 729-754, July.
- Rosen, H.S.Harvey S. & Wu, Stephen, 2004.
"Portfolio choice and health status,"
Journal of Financial Economics,
Elsevier, vol. 72(3), pages 457-484, June.
- Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1994.
"Income Risk, Borrowing Constraints and Portfolio Choice,"
CEPR Discussion Papers
888, C.E.P.R. Discussion Papers.
- Guiso, Luigi & Jappelli, Tullio & Terlizzese, Daniele, 1996. "Income Risk, Borrowing Constraints, and Portfolio Choice," American Economic Review, American Economic Association, vol. 86(1), pages 158-72, March.
- Dolton, Peter & O'Neill, Donal, 1996. "Unemployment Duration and the Restart Effect: Some Experimental Evidence," Economic Journal, Royal Economic Society, vol. 106(435), pages 387-400, March.
- Couch, Kenneth A, 1992. "New Evidence on the Long-Term Effects of Employment Training Programs," Journal of Labor Economics, University of Chicago Press, vol. 10(4), pages 380-88, October.
- Heckman, James J, 1979.
"Sample Selection Bias as a Specification Error,"
Econometric Society, vol. 47(1), pages 153-61, January.
- Claudia Biancotti & Giovanni D'Alessio & Andrea Neri, 2008. "Measurement Error In The Bank Of Italy'S Survey Of Household Income And Wealth," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 54(3), pages 466-493, 09.
- Guiso, Luigi & Jappelli, Tullio & Pistaferri, Luigi, 2002. "An Empirical Analysis of Earnings and Employment Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 241-53, April.
- John Y. Campbell, 2006.
Journal of Finance,
American Finance Association, vol. 61(4), pages 1553-1604, 08.
- Hartog, Joop & Ferrer-i-Carbonell, Ada & Jonker, Nicole, 2002. "Linking Measured Risk Aversion to Individual Characteristics," Kyklos, Wiley Blackwell, vol. 55(1), pages 3-26.
- Peter Dolton; & Donal O'Neill, 1997. "The Long-Run Effects of Unemployment Monitoring and Work-Search Programs: Some Experimental Evidence from the U.K," Economics, Finance and Accounting Department Working Paper Series n710897, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
- Gourieroux, Christian & Monfort, Alain, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Wiley Blackwell, vol. 48(4), pages 579-86, October.
- Chesher, Andrew, 1984. "Improving the Efficiency of Probit Estimators," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 523-27, August.
- Hamermesh, Daniel S., 1999. "LEEping into the future of labor economics: the research potential of linking employer and employee data," Labour Economics, Elsevier, vol. 6(1), pages 25-41, March.
- Horowitz, Joel L. & Manski, Charles F., 2006. "Identification and estimation of statistical functionals using incomplete data," Journal of Econometrics, Elsevier, vol. 132(2), pages 445-459, June.
- James J. Heckman, 1976. "The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 4, pages 475-492 National Bureau of Economic Research, Inc.
- Brunello, Giorgio & Miniaci, Raffaele, 1999. "The economic returns to schooling for Italian men. An evaluation based on instrumental variables1," Labour Economics, Elsevier, vol. 6(4), pages 509-519, November.
- Patrick Royston, 2004. "Multiple imputation of missing values," Stata Journal, StataCorp LP, vol. 4(3), pages 227-241, September.
- Conniffe, Denis, 1983. "Small-Sample Properties of Estimators of Regression Coefficients Given a Common Pattern of Missing Data," Review of Economic Studies, Wiley Blackwell, vol. 50(1), pages 111-20, January.
- Bolhaar J & Lindeboom M & van der Klaauw B, 2009. "Insurance Search and Switching Behaviour at the time of the Dutch Health Insurance Reform," Health, Econometrics and Data Group (HEDG) Working Papers 09/14, HEDG, c/o Department of Economics, University of York.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.