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Efficient Probit Estimation with Partially Missing Covariates

  • Conniffe, Denis


    (National University of Ireland, Maynooth)

  • O'Neill, Donal


    (National University of Ireland, Maynooth)

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of conditional multinormality we show that our estimator is efficient and provide exact formulae for its asymptotic variance. Simulation results show that our estimator outperforms popular alternatives and is robust to departures from the benchmark case. We illustrate our estimator by examining the portfolio allocation decision of Italian households.

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Paper provided by Institute for the Study of Labor (IZA) in its series IZA Discussion Papers with number 4081.

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Length: 42 pages
Date of creation: Mar 2009
Date of revision:
Publication status: published in: D. Drukker (ed.): Advances in Econometrics, Vol. 27A, Missing Data Methods, 2011, 213-249.
Handle: RePEc:iza:izadps:dp4081
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  22. 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.
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  24. 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.
  25. Michael Beenstock, 2004. "Rank And Quantity Mobility In The Empirical Dynamics Of Inequality," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 50(4), pages 519-541, December.
  26. Carol C. Bertaut & Martha Starr-McCluer, 2000. "Household portfolios in the United States," Finance and Economics Discussion Series 2000-26, Board of Governors of the Federal Reserve System (U.S.).
  27. Cameron,A. Colin & Trivedi,Pravin K., 2005. "Microeconometrics," Cambridge Books, Cambridge University Press, number 9780521848053.
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