Robust estimation and inference for general varying coefficient models with missing observations

Francesco Bravo

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2020, vol. 29, issue 4, No 9, 966-988

Abstract: Abstract This paper considers estimation and inference for a class of varying coefficient models in which some of the responses and some of the covariates are missing at random and outliers are present. The paper proposes two general estimators—and a computationally attractive and asymptotically equivalent one-step version of them—that combine inverse probability weighting and robust local linear estimation. The paper also considers inference for the unknown infinite-dimensional parameter and proposes two Wald statistics that are shown to have power under a sequence of local Pitman drifts and are consistent as the drifts diverge. The results of the paper are illustrated with three examples: robust local generalized estimating equations, robust local quasi-likelihood and robust local nonlinear least squares estimation. A simulation study shows that the proposed estimators and test statistics have competitive finite sample properties, whereas two empirical examples illustrate the applicability of the proposed estimation and testing methods.

Keywords: Local linear estimation; MAR; M and Z estimators; Wald statistic; 62E20; 62G10 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s11749-019-00692-0

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