Efficient GMM estimation with incomplete data

Chris Muris*

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

7 Citations (Scopus)
702 Downloads (Pure)

Abstract

In the standard missing data model, data are either complete or completely missing. However, applied researchers face situations with an arbitrary number of strata of incompleteness. Examples include unbalanced panels and instrumental variables settings where some observations are missing some instruments. I propose a model for settings where observations may be incomplete, with an arbitrary number of strata of incompleteness. I derive a set of moment conditions that generalizes those in Graham’s (2011) standard missing data setup. I derive the associated efficiency bound and propose efficient estimators. Identification can be achieved even if it
fails in each stratum of incompleteness.
Original languageEnglish
Pages (from-to)518-530
Number of pages14
JournalReview of Economics and Statistics
Volume102
Issue number3
DOIs
Publication statusPublished - 2 Jul 2020

Structured keywords

  • ECON Econometrics
  • ECON CEPS Data

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