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

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  • Denis Conniffe

    (Economics, National University of Ireland, Maynooth)

  • Donal O’Neill

    (Economics, National University of Ireland, Maynooth)

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

Suggested Citation

  • Denis Conniffe & Donal O’Neill, 2008. "An Efficient Estimator for Dealing with Missing Data on Explanatory Variables in a Probit Choice Model," Economics Department Working Paper Series n1960908.pdf, Department of Economics, National University of Ireland - Maynooth.
    • Handle: RePEc:may:mayecw:n1960908.pdf
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    References listed on IDEAS

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    Cited by:

    1. 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.
    2. Lindeboom, Maarten & van der Klaauw, Bas & Bolhaar, Jonneke, 2010. "Insurance Search and Switching Behavior," CEPR Discussion Papers 7942, C.E.P.R. Discussion Papers.

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    More about this item

    Keywords

    Missing Data; Probit Model; Portfolio Allocation; Risk Aversion;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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