Estimation in semiparametric models with missing data

Chen, Songxi and Van Keilegom, Ingrid (2012): Estimation in semiparametric models with missing data. Published in:

Abstract

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric imputation method for the missing values, which then leads to imputed estimating equations for the finite dimensional parameter of interest. The asymptotic normality of the parameter estimator is proved in a general setting, and is investigated in detail for a number of specific semiparametric models. Finally, we study the small sample performance of the proposed estimator via simulations.

• Item Type: MPRA Paper
• Language: English
• Keywords: Copulas; imputation; kernel smoothing; missing at random; nuisance function; partially linear model; semiparametric model; single index model.
• Subjects: C - Mathematical and Quantitative Methods > C0 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling; C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs; C - Mathematical and Quantitative Methods > C9 - Design of Experiments; G - Financial Economics > G0 - General

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