کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146147 957497 2010 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Combining conditional and unconditional moment restrictions with missing responses
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Combining conditional and unconditional moment restrictions with missing responses
چکیده انگلیسی

Many statistical models, e.g. regression models, can be viewed as conditional moment restrictions when distributional assumptions on the error term are not assumed. For such models, several estimators that achieve the semiparametric efficiency bound have been proposed. However, in many studies, auxiliary information is available as unconditional moment restrictions. Meanwhile, we also consider the presence of missing responses. We propose the combined empirical likelihood (CEL) estimator to incorporate such auxiliary information to improve the estimation efficiency of the conditional moment restriction models. We show that, when assuming responses are strongly ignorable missing at random, the CEL estimator achieves better efficiency than the previous estimators due to utilization of the auxiliary information. Based on the asymptotic property of the CEL estimator, we also develop Wilks’ type tests and corresponding confidence regions for the model parameter and the mean response. Since kernel smoothing is used, the CEL method may have difficulty for problems with high dimensional covariates. In such situations, we propose an instrumental variable-based empirical likelihood (IVEL) method to handle this problem. The merit of the CEL and IVEL are further illustrated through simulation studies.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 101, Issue 10, November 2010, Pages 2420–2433
نویسندگان
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