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An analysis of longitudinal data with nonignorable dropout using the truncated multivariate normal distribution

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  • Jolani, Shahab

Abstract

For a vector of multivariate normal when some elements, but not necessarily all, are truncated, we derive the moment generating function and obtain expressions for the first two moments involving the multivariate hazard gradient. To show one of many applications of these moments, we then extend the two-step estimation of censored regression models to longitudinal studies with nonignorable dropout, in the sense that the probability of dropout depends on unobserved, or missing, observations. With nonignorable dropout, direct maximization of the likelihood function can be computationally intensive or even infeasible. The two-step method in such cases can be an adequate substitute. In a set of simulation studies the developed two-step method and the maximum likelihood (ML) method are compared. It turns out that the proposed method preforms at least as well as the ML and provides a convenient alternative that can easily be implemented in standard software.

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  • Jolani, Shahab, 2014. "An analysis of longitudinal data with nonignorable dropout using the truncated multivariate normal distribution," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 163-173.
    • Handle: RePEc:eee:jmvana:v:131:y:2014:i:c:p:163-173
    DOI: 10.1016/j.jmva.2014.06.016
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    References listed on IDEAS

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    1. Lee, Lung-fei & Maddala, G S & Trost, R P, 1980. "Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity," Econometrica, Econometric Society, vol. 48(2), pages 491-503, March.
    2. Heckman, James, 2013. "Sample selection bias as a specification error," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 31(3), pages 129-137.
    3. P. Diggle & M. G. Kenward, 1994. "Informative Drop‐Out in Longitudinal Data Analysis," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 43(1), pages 49-73, March.
    4. Johnson, N. L. & Kotz, Samuel, 1975. "A vector multivariate hazard rate," Journal of Multivariate Analysis, Elsevier, vol. 5(1), pages 53-66, March.
    5. Poirier, Dale J., 1980. "Partial observability in bivariate probit models," Journal of Econometrics, Elsevier, vol. 12(2), pages 209-217, February.
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    Cited by:

    1. Alireza Rezaee & Mojtaba Ganjali & Ehsan Bahrami Samani, 2022. "Sample selection bias with multiple dependent selection rules: an application to survey data analysis with multilevel nonresponse," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 158(1), pages 1-15, December.

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