The Method of Simulated Scores for Estimating Multinormal Regression Models with Missing Values

Giorgio Calzolari and Laura Neri ()
Additional contact information
Laura Neri: Università di Siena, Dipartimento di Metodi Quantitativi

Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: Given a set of continuous variables with missing data, we prove in this paper that the iterative application of a simple “least-squares estimation/multivariate normal simulation” procedure produces an efficient parameters estimator. There are two main assumptions behind our proof: (1) the missing data mechanism is ignorable; (2) the data generating process is a multivariate normal linear regression. Disentangling the iterative procedure and its convergence conditions, we show that the estimator is a “method of simulated scores” (a particular case of McFadden’s “method of simulated moments”), thus equivalent to maximum likelihood if the number of replications is conveniently large. We thus provide a non-Bayesian re-interpretation of the estimation/simulation problem. The computational procedure is obtained introducing a simple modification into existing algorithms. Its software implementation is straightforward (few simple statements in any programming language) and easily applicable to datasets with large number of variables.

Keywords: Simulated scores; missing data; multivariate normal regression model; estimation/simulation; general pattern of missingness; simultaneous equations; structural form; reduced form (search for similar items in EconPapers)
JEL-codes: C13 C15 C30 C81 (search for similar items in EconPapers)
Pages: 29
Date: 2010-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://labdisia.disia.unifi.it/ricerca/pubblicazi ... s/2010/wp2010_01.pdf (application/pdf)

Related works:
Working Paper: Imputation of continuous variables missing at random using the method of simulated scores (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fir:econom:wp2010_01

Access Statistics for this paper

More papers in Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Fabrizio Cipollini ().