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Semiparametric inference with missing data: Robustness to outliers and model misspecification
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Statistics. (Stat4Reg;Umeå SIMSAM Lab)ORCID iD: 0000-0003-3187-1987
2020 (English)In: Econometrics and Statistics, ISSN 2452-3062Article in journal (Refereed) Epub ahead of print
Abstract [en]

Classical semiparametric inference with missing outcome data is not robust to contamination of the observed data and a single observation can have arbitrarily large influence on estimation of a parameter of interest. This sensitivity is exacerbated when inverse probability weighting methods are used, which may overweight contaminated observations. Inverse probability weighted, double robust and outcome regression estimators of location and scale parameters are introduced, which are robust to contamination in the sense that their influence function is bounded. Asymptotic properties are deduced and finite sample behaviour studied. Simulated experiments show that contamination can be more serious a threat to the quality of inference than model misspecification. An interesting aspect of the results is that the auxiliary outcome model used to adjust for ignorable missingness by some of the estimators, is also useful to protect against contamination. Both adjustment to ignorable missingness and protection against contamination are achieved through weighting schemes. A case study illustrates how the resulting weights can be studied to gain insights on how the two different weighting schemes interact.

Place, publisher, year, edition, pages
Elsevier, 2020.
Keywords [en]
average causal effects, doubly robust estimator, influence function, inverse probability weighting, outcome regression
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:umu:diva-169253DOI: 10.1016/j.ecosta.2020.01.003OAI: oai:DiVA.org:umu-169253DiVA, id: diva2:1417337
Available from: 2020-03-27 Created: 2020-03-27 Last updated: 2020-04-23

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de Luna, Xavier

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
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  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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