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Graham, Bryan S., and
Keisuke Hirano. 2011. "Robustness to Parametric Assumptions in Missing Data Models."
,
101(3): 538-43.
Show Article Details
DOI: 10.1257/aer.101.3.538
Abstract:We consider estimation of population averages when data are missing at random. If some cells contain few observations, there can be substantial gains from imposing parametric restrictions on the cell means, but there is also a danger of misspecification. We develop a simple empirical Bayes estimator, which combines parametric and unadjusted estimates of cell means in a data-driven way. We also consider ways to use knowledge of the form of the propensity score to increase robustness. We develop an empirical Bayes extension of a double robust estimator. In a small simulation study, the empirical Bayes estimators perform well. They are similar to fully nonparametric methods and robust to misspecification when cells are moderate to large in size, and when cells are small they maintain the benefits of parametric methods and can have lower sampling variance.
Authors:
Graham, Bryan S. (NYU)
Hirano, Keisuke (U AZ)
JEL Classifications:
C11: Bayesian Analysis: General
C51: Model Construction and Estimation
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