期刊
JOURNAL OF ECONOMETRICS
卷 205, 期 2, 页码 363-380出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2018.03.017
关键词
Dimension reduction; Kernel smoothing; Missing outcomes; Robust; Semiparametrically efficient; Mann-Whitney statistics
资金
- National Natural Science Foundation of China [11571282, 11528102, 11501463, 11401482]
- Fundamental Research Funds for the Central Universities of China [JBK120509, 14TD0046]
The Mann-Whitney statistic based on complete data only might be invalid if the outcome variables are missing due to certain covariates. In this paper, we used the probabilistic index modelling (Thas et al., 2012) to obtain a new Mann-Whitney statistic when miss-ingness occurs in the outcomes but multiple explanatory variables are observable. Our method combined the efficiency of the model-based approach and the robustness of the nonparametric approach. It requires few model assumptions and is shown to be efficient if all specifications are correct, and doubly robust if some part is misspecified. Results from simulation studies and a real data analysis of consumer phone loans are presented to demonstrate the advantages of the proposed method over others. (C) 2018 Elsevier B.V. All rights reserved.
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