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Small-Sample Properties of Estimators of Regression Coefficients Given a Common Pattern of Missing Data

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  • Denis Conniffe

Abstract

For a commonly occurring pattern of missing data, estimators of regression coefficients are derived by a non-likelihood method. The small-sample properties are investigated for the case of normality assumptions. The estimators are shown to be unbiased, exact small-sample variance formulae are derived, comparisons are made with ordinary least-squares estimators and it is demonstrated that the estimators can be more efficient than maximum-likelihood estimators in small samples.

Suggested Citation

  • Denis Conniffe, 1983. "Small-Sample Properties of Estimators of Regression Coefficients Given a Common Pattern of Missing Data," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(1), pages 111-120.
    • Handle: RePEc:oup:restud:v:50:y:1983:i:1:p:111-120.
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    File URL: http://hdl.handle.net/10.2307/2296958
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    Cited by:

    1. Theodore E. Nijman & Franz C. Palm, 1988. "Consistent Estimation of Regression Models with Incompletely Observed Exogenous Variables," Annals of Economics and Statistics, GENES, issue 12, pages 151-175.
    2. Denis Conniffe & Donal O'Neill, 2011. "Efficient Probit Estimation with Partially Missing Covariates," Advances in Econometrics, in: Missing Data Methods: Cross-sectional Methods and Applications, pages 209-245, Emerald Group Publishing Limited.
    3. Nijman, T.E. & Palm, F.C., 1987. "Consistent estimation of regression models with incompletely observed exogenous variables," Other publications TiSEM a1dbc0ec-23d6-4bb1-8a95-7, Tilburg University, School of Economics and Management.
    4. Mervyn A. King & Jonathan I. Leape, 1984. "Wealth and Portfolio Composition: Theory and Evidence," NBER Working Papers 1468, National Bureau of Economic Research, Inc.
    5. King, Mervyn A. & Leape, Jonathan I., 1998. "Wealth and portfolio composition: Theory and evidence," Journal of Public Economics, Elsevier, vol. 69(2), pages 155-193, June.
    6. Denis Conniffe & Donal O’Neill, 2008. "An Efficient Estimator for Dealing with Missing Data on Explanatory Variables in a Probit Choice Model," Economics Department Working Paper Series n1960908.pdf, Department of Economics, National University of Ireland - Maynooth.

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