{"title":"EFFICIENCY IN ESTIMATION UNDER MONOTONIC ATTRITION","authors":"Jean-Louis Barnwell, Saraswata Chaudhuri","doi":"10.1017/s0266466624000203","DOIUrl":null,"url":null,"abstract":"<p>Attrition is monotonic when agents leaving multi-period studies do not return. Under a general missing at random (MAR) assumption, we study efficiency in estimation of parameters defined by moment restrictions on the distributions of the counterfactuals that were unrealized due to monotonic attrition. We discuss novel issues related to overidentification, usability of sample units, and the information content of various MAR assumptions for estimation of such parameters. We propose a standard doubly robust estimator for these parameters by equating to zero the sample analog of their respective efficient influence functions. Our proposed estimator performs well and vastly outperforms other estimators in our simulation experiment and empirical illustration.</p>","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"90 1","pages":""},"PeriodicalIF":1.0000,"publicationDate":"2024-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Theory","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1017/s0266466624000203","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
Attrition is monotonic when agents leaving multi-period studies do not return. Under a general missing at random (MAR) assumption, we study efficiency in estimation of parameters defined by moment restrictions on the distributions of the counterfactuals that were unrealized due to monotonic attrition. We discuss novel issues related to overidentification, usability of sample units, and the information content of various MAR assumptions for estimation of such parameters. We propose a standard doubly robust estimator for these parameters by equating to zero the sample analog of their respective efficient influence functions. Our proposed estimator performs well and vastly outperforms other estimators in our simulation experiment and empirical illustration.
当代理人离开多期研究而不再返回时，自然减员是单调的。在一般随机缺失（MAR）假设下，我们研究了对由于单调流失而未实现的反事实分布的矩限制所定义的参数进行估计的效率。我们讨论了与过度识别、样本单位的可用性以及用于估计此类参数的各种 MAR 假设的信息含量有关的新问题。通过将这些参数各自的有效影响函数的样本类似值等同于零，我们为这些参数提出了一个标准的双重稳健估计器。在我们的模拟实验和实证说明中，我们提出的估计器表现良好，大大优于其他估计器。
Econometric TheoryMATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY
CiteScore
1.90
自引率
0.00%
发文量
52
审稿时长
>12 weeks
期刊介绍：
Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.
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