Helmut Farbmacher, Alexander Kann
arXiv 26 Mar 2019 · Econometrics
arXiv:1903.11004 · PDF · DOI · OpenAlex · Extracted main text
Endogeneity and missing data are common issues in empirical research. We investigate how both jointly affect inference on causal parameters. Conventional methods to estimate the variance, which treat the imputed data as if it was observed in the first place, are not reliable. We derive the asymptotic variance and propose a heteroskedasticity robust variance estimator for two-stage least squares which accounts for the imputation. Monte Carlo simulations support our theoretical findings.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | McDonough IK, Millimet DL (2017) Missing data, imputation, and endogeneity | 0.843 | 3 | 3 | 100% |
| 2 | Wooldridge JM (2007) Inverse probability weighted estimation for general missing data problems | 0.511 | 2 | 1 | 100% |
| 3 | Nagar AL (1959) The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations | 0.405 | 1 | 1 | 100% |
| 4 | Chao JC, Hausman JA, Newey WK, Swanson NR, Woutersen T (2014) Testing overidentifying restrictions with many instruments and heteroskedasticity | 0.405 | 1 | 1 | 100% |
| 5 | Chaudhuri S, Frazier DT, Ranault E (2018) Indirect Inference with endogenously missing exogenous variables | 0.405 | 1 | 1 | 100% |
| 6 | Graham BS, Pinto C, Egel D (2012) Inverse Probability Tilting for Moment Condition Models with Missing Data | 0.405 | 1 | 1 | 100% |
| 7 | Hausman JA, Newey WK, Woutersen T, Chao JC, Swanson NR (2012) Instrumental variable estimation with heteroskedasticity and many instruments | 0.405 | 1 | 1 | 100% |
| 8 | Little RJA (1992) Regression With Missing X's: A Review | 0.405 | 1 | 1 | 100% |
| 9 | Murphy KM, Topel RH (1985) Estimation and Inference in Two-Step Econometric Models | 0.405 | 1 | 1 | 100% |
Showing the top 9 of 9 scored citations.