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Testing Missing At Random Using Instrumental Variables

Christoph Breunig
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Christoph Breunig: Humboldt University Berlin

No 59, Rationality and Competition Discussion Paper Series from CRC TRR 190 Rationality and Competition

Abstract: This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure based on integrated squared distance is proposed. The statistic\'s asymptotic distribution under the MAR hypothesis is derived. In particular, our results can be applied to testing missing completely at random (MCAR). A Monte Carlo study examines finite sample performance of our test statistic. An empirical illustration analyzes the nonresponse mechanism in labor income questions.

Keywords: incomplete data; missing-data mechanism; selection model; nonparametric hypothesis testing; consistent testing; instrumental variable; series estimation (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2017-12-21
New Economics Papers: this item is included in nep-lab and nep-ore
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