An improved and efficient estimation method for varying-coefficient model with missing covariates

Jing Sun and Qihang Sun

Statistics & Probability Letters, 2015, vol. 107, issue C, 296-303

Abstract: For the coefficient functions of varying-coefficient models with missing covariates, we develop weighted quantile average estimation and obtain the optimal weights whose corresponding estimate approaches the Cramér–Rao lower bound under appropriate regularity conditions. Theoretical and simulation results show the good performance of our method.

Keywords: Weighted quantile average estimation; Varying-coefficient model; Missing mechanism; Inverse probability weighting (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2015.09.009

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