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Regression with an Imputed Dependent Variable

Thomas Crossley, Peter Levell () and Stavros Poupakis ()
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Peter Levell: Institute for Fiscal Studies and Institute for Fiscal Studies

No W19/16, IFS Working Papers from Institute for Fiscal Studies

Abstract: Researchers are often interested in the relationship between two variables, with no single data set containing both. A common strategy is to use proxies for the dependent variable that are common to two surveys to impute the dependent variable into the data set containing the independent variable. We show that commonly employed regression or matching-based imputation procedures lead to inconsistent estimates. We o?er an easily-implemented correction and correct asymptotic standard errors. We illustrate these with Monte Carlo experiments and empirical examples using data from the US Consumer Expenditure Survey (CE) and the Panel Study of Income Dynamics (PSID).

Date: 2019-06-24
New Economics Papers: this item is included in nep-dcm and nep-ecm
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