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An Efficient Estimator for Dealing with Missing Data on Explanatory Variables in a Probit Choice Model

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Author Info
Denis Conniffe () (Economics, National University of Ireland, Maynooth)
Donal O’Neill () (Economics, National University of Ireland, Maynooth)

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Abstract

A 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

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Publisher Info
Paper 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.

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Length: 36 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:may:mayecw:n1960908.pdf

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Postal: Maynooth, Co. Kildare
Phone: 353-1-7083728
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Web page: http://www.may.ie/academic/economics/
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Related research
Keywords: Missing Data; Probit Model; Portfolio Allocation; Risk Aversion;

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Find related papers by JEL classification:
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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  1. 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 120-137 National Bureau of Economic Research, Inc. [Downloadable!]
  2. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, vol. 61(4), pages 1553-1604, 08. [Downloadable!] (restricted)
    Other versions:
  3. 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. [Downloadable!]
  4. Chesher, Andrew, 1984. "Improving the Efficiency of Probit Estimators," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 523-27, August. [Downloadable!] (restricted)
  5. 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. [Downloadable!] (restricted)
    Other versions:
  6. 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.
  7. Tullio Jappelli & Luigi Pistaferri, 2006. "Intertemporal Choice and Consumption Mobility," Journal of the European Economic Association, MIT Press, vol. 4(1), pages 75-115, 03. [Downloadable!] (restricted)
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  8. 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. [Downloadable!] (restricted)
  9. 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, Blackwell Publishing, vol. 54(3), pages 466-493, 09. [Downloadable!] (restricted)
  10. Gourieroux, Christian & Monfort, Alain, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 579-86, October. [Downloadable!] (restricted)
  11. Pistaferri, Luigi, 2002. "Anticipated and Unanticipated Wage Changes, Wage Risk, and Intertemporal Labour Supply," CEPR Discussion Papers 3628, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  12. 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. [Downloadable!] (restricted)
    Other versions:
  13. Hartog, Joop & Ferrer-i-Carbonell, Ada & Jonker, Nicole, 2002. "Linking Measured Risk Aversion to Individual Characteristics," Kyklos, Blackwell Publishing, vol. 55(1), pages 3-26.
  14. Heckman, James J, 1979. "Sample Selection Bias as a Specification Error," Econometrica, Econometric Society, vol. 47(1), pages 153-61, January. [Downloadable!] (restricted)
  15. Patrick Royston, 2004. "Multiple imputation of missing values," Stata Journal, StataCorp LP, vol. 4(3), pages 227-241, September. [Downloadable!]
  16. 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. [Downloadable!] (restricted)
  17. 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. [Downloadable!] (restricted)
  18. 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. [Downloadable!] (restricted)
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