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Measurement error in imputation procedures

Author

Listed:
  • Rodolfo G. Campos

    (IESE Business school)

  • Iliana Reggio

    (Universidad Carlos III)

Abstract

We study how estimators used to impute consumption in survey data are inconsistent due to measurement error in consumption. Previous research suggests instrumenting consumption to overcome this problem. We show that, if additional regressors are present, then instrumenting consumption may still produce inconsistent estimators due to the likely correlation between additional regressors and measurement error. On the other hand, low correlations between additional regressors and instruments may reduce bias due to measurement error. We apply our fi ndings by revisiting recent research that imputes consumption data from the CEX to the PSID.

Suggested Citation

  • Rodolfo G. Campos & Iliana Reggio, 2013. "Measurement error in imputation procedures," Working Papers 1322, Banco de España.
    • Handle: RePEc:bde:wpaper:1322
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    References listed on IDEAS

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    Cited by:

    1. Hryshko, Dmytro & Manovskii, Iourii, 2022. "How much consumption insurance in the U.S.?," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 17-33.
    2. Campos, Rodolfo G. & Reggio, Iliana, 2015. "Consumption in the shadow of unemployment," European Economic Review, Elsevier, vol. 78(C), pages 39-54.

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    More about this item

    Keywords

    consumption; measurement error; instrumental variables; consumer expenditure survey; panel study of income dynamics; income shocks;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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