Instrument search in pseudo-likelihood approach for nonignorable nonresponse

Ji Chen, Jun Shao and Fang Fang ()
Additional contact information
Ji Chen: East China Normal University
Jun Shao: East China Normal University
Fang Fang: East China Normal University

Annals of the Institute of Statistical Mathematics, 2021, vol. 73, issue 3, No 4, 519-533

Abstract: Abstract With nonignorable nonresponse, an effective method to construct valid estimators of population parameters is to use a covariate vector called instrument that can be excluded from the nonresponse propensity, but are associated with the response even when other covariates are conditioned. The existing work in this approach assumes such an instrument is given, which is frequently not the case in applications. In this paper, we investigate how to search for an instrument from a given set of covariates, based on a pseudo likelihood approach assuming a parametric distribution of response conditioned on covariates and a totally unspecified nonresponse propensity. We propose a method and show that it produces a consistent instrument selection as the sample size tends to infinity, under some regularity conditions. The proposed method is examined in a simulation study and illustrated in a real data example.

Keywords: Nonignorable nonresponse; Nonresponse instrument; Pseudo-likelihood; Variable selection (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10463-020-00758-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:spr:aistmt:v:73:y:2021:i:3:d:10.1007_s10463-020-00758-z

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-020-00758-z

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().